标题: short call and gamma [打印本页] 作者: ba736 时间: 2011-7-13 16:30 标题: short call and gamma
in short call and short put, is delta all <0, in short call, gamma>0?
if I short call and long stock, when stock increases, delta increases, do I need to buy less stock to do delta hedging?作者: chaojimali 时间: 2011-7-13 16:30
The delta of a call option should be the same whether you are long or short. If delta increases you would need less options to hedge your stock since a 1% increase in the stock will cause a greater change in the call then before.作者: genuinecfa 时间: 2011-7-13 16:31
yes gamma should be the same with a long or short作者: FinancialAnaly 时间: 2011-7-13 16:31
I don't agree作者: Analyze_This 时间: 2011-7-13 16:31
go on.....作者: President1988 时间: 2011-7-13 16:31
I think short put gamma is <0, my opinion only, correct me if wrong作者: yalo 时间: 2011-7-13 16:31
Gamma is greatest at when a call or put is at the money, the further the price moves from the exercise price. I don't think there is a difference between a short or long put gammas, just like delta of a short or long call is the same. Now, value and its effect would change depending on if your long or short the assest / long or short the call / long or short the put作者: bingbingliang 时间: 2011-7-13 16:31
The delta of a call can range from 0.00 to 1.00; the delta of a put can range from 0.00 to –1.00. Long calls have positive delta; short calls have negative delta. Long puts have negative delta; short puts have positive delta.
Long calls and long puts both always have positive gamma. Short calls and short puts both always have negative gamma.作者: Pegasus2008 时间: 2011-7-13 16:31
short call my opninon is positive delta, if short call , stock price increase, delta should increase, in your case, absolute value of delta reduce作者: tianxin 时间: 2011-7-13 16:31
short call is negative delta, if stock goes up value of short call goes down, hence delta is negative作者: bingbingliang 时间: 2011-7-13 16:31
I check CFA text, I 'm with CFA text opinion, Stock up, call up, delta >0 and increase, but short call has negative value作者: CPATrader 时间: 2011-7-13 16:31
that's correct.作者: stalkey 时间: 2011-7-13 16:31
as far as i have read....call deltas are positive that is frm 0 to 1 as d stock price increases and put deltas are negative that is frm -1 to 0 as the stock price increases cause call deltas are positively related to stock price..and put deltas are negatively related to stock price..
as far as gamma goes...long calls n long puts have positive gammas and short calls n puts will have negative gammas...作者: redskins44 时间: 2011-7-13 16:31
sgkhade07 Wrote:
-------------------------------------------------------
> as far as i have read....call deltas are positive
> that is frm 0 to 1 as d stock price increases and
> put deltas are negative that is frm -1 to 0 as the
> stock price increases cause call deltas are
> positively related to stock price..and put deltas
> are negatively related to stock price..
>
> as far as gamma goes...long calls n long puts have
> positive gammas and short calls n puts will have
> negative gammas...
Yes. Delta will be >0 for calls and <0 for puts. If you sold a call, you are short, Delta doesn't reverse itself. Delta will still be positive. As Delta approaches 1 the option is getting further and further into the money and becoming more valuable to the call holder but, the investor who wrote the call option is at a loss.作者: sameeragarwal 时间: 2011-7-13 16:31
If your position is a a short call, the delta on that position will be negative.
