option 考题答案

if a stock move up $2.00 in 10 days and implied volatility rises 1% , approximately how much the premium increase or decrease for a call option based on the following option Greek values:

Delta .52

Gamma .05

Theta .08

Vega 0.06

答案：

股票涨的第一个dollas， call option 赚.52

股票涨的第二个dollas，call option 赚.52 + .05 = .57

股票涨 $2.00, call option 共赚total， $1.09

时间过了十天，call option 损失了，10 * .08 =.80

risk增加1%，股票波动增加，call option 增值，.06

答案 call option 增值 = 1.09 - .80 + .06 = .33

所有跟帖： 

• 7, a quarter is close enough,,,,,,told you "hair aunt", which me -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:13:52

• 正确的答案应该是$.40. -WSLama- ♂ (0 bytes) () 12/18/2012 postreply 20:14:47

• Honestly, there is no正确的答案, even has two formulas to calculate -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:16:35

• if before the move, delta is .52, then after the $2 move -WSLama- ♂ (100 bytes) () 12/18/2012 postreply 20:21:13

• it's like driving from a to b with constant acceleration, -WSLama- ♂ (67 bytes) () 12/18/2012 postreply 20:28:37

• Haha,,,you followed my mistake, should be 0.35, not 0.33 -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:24:11

• 大错特错，Theta 早就变了 -free2005- ♀ (67 bytes) () 12/18/2012 postreply 20:24:14

• if Theta change, it should have more negative impact,,, -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:27:08

• how？ -free2005- ♀ (0 bytes) () 12/18/2012 postreply 20:29:15

• 而且股票在涨，call 会变得贵一些 -free2005- ♀ (40 bytes) () 12/18/2012 postreply 20:28:22

• You should learn from mom2016, get basic concept -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:31:03

• These are nonlinear equations, actual price can have 300% error -free2005- ♀ (95 bytes) () 12/18/2012 postreply 20:33:50

• Theta can change. but in the question it is constant, only one v -WSLama- ♂ (0 bytes) () 12/18/2012 postreply 20:31:38

• it's not linear relationship. -free2005- ♀ (0 bytes) () 12/18/2012 postreply 20:35:19

• yes, but can be simplified with linear calculations -WSLama- ♂ (45 bytes) () 12/18/2012 postreply 20:39:21

• It's a joke, gamma=0.05 means 3month call options. -free2005- ♀ (57 bytes) () 12/18/2012 postreply 20:47:53

• You may be right on that, but her point was to know how -cyberbug- ♂ (19 bytes) () 12/18/2012 postreply 20:53:28

• The best way to estimate is to trade the one you are familiar wi -free2005- ♀ (74 bytes) () 12/18/2012 postreply 20:56:14

• The best way to familiar with is to get educated -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:57:41

• 你把希腊字母常量化了，10天在短期和长期区别太大了。 -jiangwen999- ♂ (0 bytes) () 12/18/2012 postreply 20:38:58

• She, used term "approximately" -cyberbug- ♂ (0 bytes) () 12/18/2012 postreply 20:41:16