## Timeline Call Vega

Timeline Call Vega Timeline Call Vega shows the Sensitivity of the Timeline Call to a change in Implied Volatility and is always positive. Timeline call vega is always positive as an increase in volatility increases the probability of the barrier being hit. The timeline call immediately settles at the maximum value of 100 whenever the barrier […]

## Timeline Call Theta

Timeline Call Theta Timeline Call Theta provides a rough measurement that details how much the Timeline Call price will lose over time. Timeline call theta is always negative since if the underlying asset price rises to the strike the contract finishes, i.e. the timeline call can not trade ‘in-the-money’ and hence can not have a […]

## Timeline Call Gamma

Timeline Call Gamma Timeline Call Gamma enables the trader to evaluate how much their delta exposure will change due to a change in the underlying asset price. The timeline call gamma is the first differential of the delta and this applies to the timeline call as much as any vanilla option although the timeline call […]

## Timeline Call Delta

Timeline Call Delta The Timeline Call Delta provides the equivalent underlying asset position thus enabling accurate hedging of the option using the underlying asset. The timeline call delta is the aggregate of the deltas of the composite one touch calls that make up the timeline call. In the following examples we assume the call timeline […]

## Put Accumulator Vega

Put Accumulator Vega The put accumulator vega displays how the value of the put accumulator will change due to a change in implied volatility. As so often is the case, the vega closely resembles the theta reflected through the horizontal axis. Put Accumulator Vega w.r.t. Time In Fig.1 the vega is predominantly positive when there […]

## Put Accumulator Theta

Put Accumulator Theta The put accumulator theta displays how the value of the put accumulator will change over time. Since the put accumulator is formed of a series of strikes the theta will generally oscillate around the value zero. Put Accumulator Theta w.r.t. Time From Fig.1 it is straightaway noticeable that the above condition does […]

## Put Accumulator Gamma

Put Accumulator Gamma Put accumulator gamma describes the change in the delta of a put accumulator due to a change in the underlying price, i.e. it is the first derivative of the put accumulator delta with respect to a change in underlying price and is depicted as: Γ=dΔ/dS where  Δ is the put accumulator delta and […]

## Put Accumulator Delta

Put Accumulator Delta The put accumulator delta is the change of the put accumulator price due to a change in the asset price: ∆=dP/dS where S is the underlying price. Put Accumulator Delta Over Time Put accumulator deltas are displayed against time to expiry in Figure 1. As the incremental pay off increases from 10 to 40 the absolute […]

## One Touch Call Gamma

One Touch Call Gamma One touch call gamma is always positive as is the gamma of all out-of-the-money options. Like the binary call option gamma, this gamma is zero at the strike. This indicates that the one-touch call delta always approaches the strike at a perpendicular, irrespective of the value of the gamma prior to the […]

## One Touch Call Theta

One Touch Call Theta Using the finite difference method to calculate the one touch call theta provides the profiles in Figs. 1 & 2. One touch call theta (and one-touch put theta) is always negative or zero since it is impossible for a one-touch call (or one-touch put) to trade in-the-money. One Touch Call Theta […]