Greeks (finance)

# Parametrii opțiunii delta.

Opțiuni greci. Curs de opțiuni gratuite. Treceți la conținut Descrierea opțiunii greeks MatematicaVisual Basic pentru aplicații Articolul este adresat și va fi util în primul rând celor care au început să studieze opțiuni și doresc să înțeleagă prețurile lor. Și în al doilea rând, pentru cei care nu au folosit încă instrumentul VBA în calculele lor Excel, dar vor să învețe, veți vedea parametrii opțiunii delta de simplu este cu adevărat. Opțiuni de bază În primul rând, pe scurt despre esența și prețurile opțiunilor.

Practical use[ edit ] For a vanilla option, delta will be a number between 0. The difference between the delta of a call and the delta of a put at the same strike is equal to one. See the formulas below. These numbers are commonly presented as a percentage of the total number of shares represented by the option contract s.

• F h şi sunt valori ale distribuţiei normale standard, ele reprezentând probabilităţi ce variază între 0 şi 1.
• Он успел проглотить несколько ложек своего завтрака, когда Арчи заговорил.
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This is convenient because the option will instantaneously behave like the number of shares indicated by the delta. For example, if a portfolio of American call options on XYZ each have a delta of 0. The sign and percentage are often dropped — the sign is implicit in the option type negative for put, positive for call and the percentage is understood.

Delta is always positive parametrii opțiunii delta long calls and negative for long puts unless they are zero. The total delta of a complex portfolio of positions on the same underlying asset can be calculated by simply taking the sum of the deltas for each individual position — delta of a portfolio is linear in the constituents. Parametrii opțiunii delta the delta of underlying asset is always 1. This portfolio will then retain its total value regardless of which direction the price of XYZ moves. Albeit for only small movements of the underlying, a short amount of time and not-withstanding changes in other market conditions such as volatility and the rate of return for a risk-free investment. As a proxy for probability[ edit ] Main article: Moneyness The absolute value of Delta is close to, but not identical with, the percent moneyness of an option, i. For example, if an out-of-the-money call option has a delta of 0. At-the-money calls and puts have a delta of approximately 0.

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The actual probability of an option finishing in the money is its dual deltawhich is the first derivative of option price with respect to strike. This is due to put—call parity : a long call plus a short put a call minus a put replicates a forward, which has delta equal to 1. If the value of delta for an option parametrii opțiunii delta known, one can calculate the value of the delta of the option of the same strike price, underlying and maturity but opposite right by subtracting 1 from a known call delta or adding 1 parametrii opțiunii delta a known put delta.

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