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Quantitative Finance

Option Greeks

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Level 1-2
Level 2-3

Option Greeks: Level 2-3 Challenges

What can we say about the vega of an ATM option?

The vega is (greatly) increasing as volatility increases The vega is (greatly) decreasing as volatility increases The vega is (mostly) constant as volatility increases

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by Calvin Lin

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As volatility increases, what happens to the price of an option?

Price will increase for ATM, and decrease for OTM Price will decrease Price will increase Price will decrease for ATM, and increase for OTM

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Which of the following is not a good approximation for delta of a call option?

Hedge ratio required to remain delta neutral The price of the call divided by the price of the underlying The negative of the rate of change in the price of the call as the strike increases The rate of change in the price of the call with respect to the underlying The probability that the call will be ITM on expiration

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When the stock is trading at $115, the put option on the $113 strike with 30 days to expiry is worth $1.34. It has a delta of -0.3357 and a gamma of 0.062.

How much would the put option be worth if the underlying increases to $117?

$0.545 $0.793 $0.669 $0.917

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If the delta of the call on the 30 strike expiring in June is 0.35, what is the delta of the put on the 30 strike expiring in June?

-0.65 -0.35 0.35 0.65

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Excel in math and science

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Option Greeks

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Challenge Quizzes

Option Greeks: Level 2-3 Challenges

Excel in math and science

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Excel in math and science

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Excel in math and science

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Excel in math and science

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Excel in math and science

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Our wiki is made for math and science

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Used and loved by 4 million people

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Master advanced concepts through explanations,
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Learn from a vibrant community of students and enthusiasts,
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Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.

Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.

Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.

Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.

Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.

Master advanced concepts through explanations,
examples, and problems from the community.

Learn from a vibrant community of students and enthusiasts,
including olympiad champions, researchers, and professionals.