The Greeks
Darren Krett
Monday, 19 December 2022
VEGA
Option Vega is a measure of the sensitivity of the price of an option to changes in the implied volatility of the underlying asset. Vega val
VEGA
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IMPLIED VOLATILITY: The volatility which must be attributed to an underlying price in order to make the theoretical values of an option or a spread equal to its current market price.
IN THE MONEY: An option is in the money when it has intrinsic value. A call is in the money when the market price of the underlying is greater than the option's exercise price. A put is in the money when the market price of the underlying is lower than the option's exercise price.
INTRINSIC VALUE: The difference between an in the money option strike price and the current market price of a share of the underlying security. Also called parity.
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The Greeks
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Beta is the greek that allows us to weight our current positions with a designated benchmark.
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