On a semi related note i have a question...
The formua:
Option Duration = (Delta)(Duration of Underlying)(Price Underlying / Price Option)
The sign of the delta in this case would be dependent upon the type of the option correct?
(+) for calls
(-) for puts
is this right?
and if so, is it the opposite when you're the seller of the option
i.e.,
(-) for calls
(+) for puts? |