Binary Option Gamma

Binary Put Option Gamma

Binary Put Option Gamma Binary Put Option Gamma measures the change in the delta of an option owing to a change in the underlying price and is the gradient of the slope of the binary put option delta against the underlying. The binary put option gamma indicates how much the delta of an option or […]

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Binary Option Gamma

Binary Call Option Gamma

Binary Call Option Gamma Binary call option gamma measures the change in the binary call option delta owing to a change in the underlying price and is the gradient of the slope of the binary call options delta profile versus the underlying. Below find a Finite Gamma evaluation, followed by the gamma’s sensitivity to implied […]

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Binary Option Vega

Binary Put Option Vega

Binary Put Option Vega Binary put option vega measures the change in the price of an option owing to a change in implied volatility and is the gradient of the slope of the binary put options price profile versus implied volatility. This page provides the binary put option vega formula, derivation of the formula from […]

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Binary Option Vega

Binary Call Option Vega

Binary Call Option Vega Call option vega measures the change in the price of an option owing to a change in implied volatility and is the gradient of the slope of the binary call options price profile versus implied volatility. This page provides the derivation of the binary call option vega formula from first principles, […]

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Binary Option Theta

Binary Put Option Theta

Binary Put Option Theta Theta measures the change in the price of an option over time and is the gradient of the slope of the binary put option price profile due to time decay. This section on binary put option theta, as with the binary call option theta section, is in two parts: i.    the first […]

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Binary Option Theta

Binary Call Option Theta

Binary Call Option Theta The Binary Call Option Theta measures the change in the price of a binary call option over time and is the gradient of the slope of the binary options price profile versus time decay. This section on binary call option theta, as with the binary put option theta section, is in […]

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Binary Option Delta

Binary Put Option Delta

Binary Put Option Delta Binary Put Option Delta measures the change in the price of an option owing to a change in the underlying asset price and is the gradient of the slope of the binary put options price profile versus the underlying. If one takes a look below at the formula for the Binary […]

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Binary Option Delta

Binary Call Option Delta

Binary Call Option Delta Binary call option delta measures the change in the price of a binary call option owing to a change in the underlying asset price and is the gradient of the slope of the binary options price profile versus the underlying asset price (the ‘underlying’). Of all the Greeks, the binary call […]

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Binary Options Greeks

Binary Option Greeks

Binary Option Greeks Binary option Greeks are the letters of the Greek alphabet that are used to represent the sensitivity, generally of the options price, to a change in one of the inputs. Who needs binary options greeks? The pricing of options is one thing but once a position has been opened options risk analysis […]

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