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Option Questions
I have been going through Euan Sinclair's book and there it is written that the Gamma of an option is not symmetric with respect to ATM price because it is scaled by the underlying price. What does it mean to be scaled by the underlying price? Also, can someone give an intuitive answer explaining...
Negative Delta
Hi, I read that the delta of a call option is between 0 and 1. But in situations, where the price of a call option decreases even as the price of the underlying stock increases it tends to imply that the delta of such an option is negative since delta is the sensitivity of the option price to the...
Part I: So You Want To Be A Derivatives Trader?
Joris Luyendijk is an Anthropologist who runs The Guardian's Banking Blog , a series of monologues where people in the financial sector anonymously talk about their working lives. This series is about a 20-something derivatives trader who worked in a small European country and is now a quant at a...
Financial Greeks (Delta/Vega/Gamma/etc)
I have an interview coming up and need to brush up on my greeks. I have been using investopedia/wikipedia, but wanted to see if someone would be so kind as to maybe give me a synopsis of the more common ones; Delta, Vega, Gamma - when they are typically used, what they measure and how? Thanks!
Market Data for Options
I posted a topic on options pricing movements last week and got several great answers do thanks to all who helped out. I'm curious what market data applications and tools you guys find the most helpful and worthwhile. I trade via optionshouse and they don't really have any analytics. I used to have...
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