The Greeks
Darren Krett
Monday, 19 December 2022
Beta
Beta is the greek that allows us to weight our current positions with a designated benchmark.
Beta
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Darren Krett
Monday, 19 December 2022
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Rho
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The Greeks
Rho represents the rate of change between an option's value and a 1% change in the interest rate. This measures sensitivity to the interest rate. For example, assume a call option has a rho of 0.05 and a price of $1.25. If interest rates rise by 1%, the value of the call option would increase to $1.30, all else being equal. The opposite is true for put options. Rho is greatest for at-the-money options with long times until expiration
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The Greeks
Darren Krett
Monday, 19 December 2022
Theta
Theta measures the rate of change in an options price relative to time. This is also referred to as time decay. Theta values are negative in
Theta
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