Understanding Option Price Sensitivities – European Put Options – Sales & Trading Technical Interview Guides
As part of our Sales & Trading technical interview guide series we have done a number of posts on Greeks, Delta hedging and estimation of Delta hedging Profit & Loss.
A recent client/student/interview request indicated a preference/need for a sheet dedicated to European Put Options Greek plots. Hence the Greeks Put Option suspects’ gallery. While some of these are making a second appearance, we think a Put only collection is indeed useful given our focus on European Call options.
The Analysis framework used for dissecting put option Greeks is simple. We break the contracts down by “money-ness”. The three categories are Deep In, At/Near, Deep Out of money options.
And the five option pricing variables – Spot, Strike, Vol, Interest Rates & Time. This analytical combination produces interesting results.
The options for which Greeks have been plotted below assume a volatility of 20%, a risk free rate of 5% and a time to maturity of 1 year. In addition Spot and Strike prices are:
Deep In
Spot = 50
Strike = 100
At/Near
Spot = 50
Strike = 100
Deep Out
Spot = 50
Strike = 100
Greeks Against Spot – European Put Options
European Put Options – Deep In the money Options
European Put Options – At/Near Money Options
European Put Options – Deep Out of money Options
Greeks Against Spot – European Put Options
European Put Options – Deep In the money Options
European Put Options – At/Near money Options
European Put Options – Deep out of money Options
European Put Option Greeks – Against Volatility
European Put Options – At/In money Options
European Put Options – Against Changing Interest Rates
European Put Options – At/Near money Options
European Put Options – Against Changing Time to Maturity
European Put Options – At/Near money Options
Understanding Option Greeks – Relevant Sales & Trading Interview Guides prior posts
Understanding Greeks – Introduction
Understanding Greeks – Analyzing Delta & Gamma
Understanding Greeks – The Guide to delta hedging using Monte Carlo Simulation
Understanding Greeks – Quick Reference Guide to Delta, Gamma, Vega, Theta & Rho
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