To add Greeks columns to the Quote Monitor or other window, hold your mouse over an existing Market Data column heading and click the green "+" sign to insert column. From the displayed list select Greeks.
|
Description |
|
|
Delta |
The ratio of the change in the price of the option to the corresponding change in the price of the underlying. |
| Gamma | The rate of change of Delta with respect to the underlying asset's price. |
| Portfolio Delta |
Calculated as delta * position. A position delta that captures both the direction and the magnitude of the portfolio's sensitivity to an underlying by representing the degree and direction of change in the option price, based on a change in the price of the underlying. |
| Portfolio Gamma |
Calculated as gamma * position. Helps you to assess directional risk by defining the speed at which the option's directional changes will occur, i.e. the rate of change of delta. |
| Portfolio Theta |
Calculated as theta * position. Theta represents the portfolio's sensitivity to the passage of time by indicating that rate at which the market value of our portfolio will change with time. This metric calculation is based on the assumption that all other variables remain unchanged, including the underlying price, implied volatility and interest rate. |
| Portfolio Vega |
Calculated as vega * position. Represents the portfolio's sensitivity to changes in implied volatility of the underlying, and shows the changed in the price of an option relative to a change in the implied volatility of the underlying. Generally long option positions benefit from rising (and suffer from declining) implied volatilities, while short options positions experience the opposite. |
|
Theta |
A measure of the rate of decline of the value of an option due to the passage of time. |
| Vega | The amount that the price of an option changes with a 1% change in volatility. |