Assuming today, an option position's Greeks profile is as such:
Delta : + 0.7
Gamma : + 0.018
Theta : - 0.02
Vega : + 2.15
Question :
In order to be profitable, do you want your underlying's price :
a) To move or stay rather stagnant? Why?
b) To move in which direction? Why?
Enjoy
Answers will be posted by 16Nov09
1 comment:
One would want the underlying to increase in value because we are both +ve delta and +ve gamma
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