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Delta, Theta, Gamma, Vega, Rho.. was griechische Buchstaben mit Optionen zu tun haben

2022.01.24 17:43 cantoast Delta, Theta, Gamma, Vega, Rho.. was griechische Buchstaben mit Optionen zu tun haben

Hallo liebes Hebelwerk,
Die letzte Woche war blutig für die meisten von uns. Anstatt ins Depot zu schauen hab ich mich entschlossen mein Wissen über Optionen zu erweitern und möchte eine kleine Zusammenfassung der sog. "Greeks" hier veröffentlichen, welche dem einen oder anderen bestimmt helfen kann die teilweise komplizierten Diskussionen über und mit den Greeks zu verstehen.

Was sind Griechen und wozu braucht man sie?
Optionen tragen Risiken, um diese besser zu veranschaulichen wurden die Griechen erfunden. Es gibt verschiede Griechen und jeder Buchstabe kann anders benutzt werden, sodass die unterschiedlichsten Strategien entstehen.
Die Griechen werden jeweils mit der ersten partiellen Ableitung des Black-Scholes Modells berechnet.

Delta, die Veränderungsrate
Delta ist die Veränderungsrate des Optionspreises in Bezug zur einer Preisschwankung von 1$ des Underlyings. Eine Call-Option hat immer einen Delta zwischen 0 und 1; eine Put-Option einen Delta zwischen 0 und -1. Wenn wir also beispielsweise eine Call-Option mit einem Delta von 0,5 besitzen und unser Underlying steigt um 1$, so ist unsere Call-Option 0,5$ mehr wert.
Delta kann aber auch zum Hedgen benutzt werden, um eine "Delta-neutrale Position" zu haben, also eine Postion dessen wert immer gleich bleibt, egal wie sich das Underlying bewegt. Dazu nimmt man den Delta der von uns gehaltenen Call-Option und multipliziert diesen mit 100. Den Betrag des Ergebnisses gehen wir short mit Aktien. Wenn also unser Call einen Delta von 0,6 hat, multiplizieren wir diesen mit 100 (=60) und gehen also 60 Aktien short. Egal wie viel sich das Underlying bewegt, unsere Position bleibt +-0.

Theta, das Spiel gegen (oder mit) der Zeit
Theta veranschaulicht die Preisänderung der Option wenn jede andere Variabel gleich bleibt. Wenn wir also eine Put-Option mit einem Theta von -0,3 halten, dann würde unsere Option jeden Tag 0,3$ weniger Wert ein, voraussgesetzt alle anderen Variabeln bleiben gleich. Theta fällt bei Optionen wenn diese ITM oder OTM sind, bei ATM Optionen steigt dieser Wert. Theta steigt außerdem sobald das Expiry Datum der Option näher kommt.
Für Long Calls und Puts ist Theta ein Feind. Wenn man aber Short Calls oder Puts Postionen eröffnet, spielt dieser Wert einem in die Hände, da Short-Seller von fallenden Preisen ihrer Optionen profitieren. Short-Option Positionen haben immer einen postiven Theta.

Gamma, warum sich Delta ändert
Delta bleibt nicht immer gleich. Wie sich Delta verändert beschreibt Gamma. Gamma lässt sich beschreiben als den Betrag den Delta sich verändert, wenn sich das Undelying um 1$ bewegt. In einem therotischen Beispiel sind wir Halter eines Long-Calls mit einem Delta von 0,4 und einem Gamma von 0,3. Wenn sich unser Underlying jetzt um 1$ steigen würde, dann hätte unsere Option einen Delta von 0,7.
Man kann also nicht nur Delta neutral sein, sondern auch Delta-Gamma neutral. Man versucht dann den Delta nahe 0 zu halten, damit Preisschwankungen des Underlyings keine Rolle für die Postion spielen.

Vega, warum Volatilität nicht unwichtig ist
Wenn sich die IV ändert, dann ändert sich auch der Preis einer Option. Diese Abhängigkeit beschreibt Vega. Wenn sich also die IV um 1% erhöht und unsere Option hat einen Vega von 1, dann steigt der Wert unserer Option um 1$. Vega ist am höchsten wenn die Option ATM ist und noch eine lange Zeit bis zum Expiry hat

Rho, Zinsen spielen eine Rolle
Wenn die Zinsen steigen, dann steigt auch der Wert einer Option. Rho ist der Wert der diese potentielle Preisschwankung abbildet. Nehmen wir mal an wir besitzen einen Call mit einem Rho von 0,2. Sollte der Leitzins nun 1% steigen, so würde unsere Option 0,2$ mehr wert sein (das Gegenteil gilt für Put Optionen), wieder vorrausgesetzt alle anderen Variabeln bleiben gleich.
Rho ist wie Vega am höchsten, wenn die Option ATM ist und weit weg vom Expiry ist.

Das wars?
Nein, es gibt noch andere Greeks wie z.B. lamda, epsilon, vera und ultima. Sie werden zunehmend in Strategien genutzt, da sie schnell durch Computer berechnet werden können, jedoch spielen sie momentan eine eher untergeordnete Rolle.


Quellenangabe:
https://www.investopedia.com/terms/g/greeks.asp
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2022.01.24 17:43 snkde Save up to $100 on TurboTax for new Lowe's 4 pros members - valid 1/17/2022 - 1/28/2022

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2022.01.24 17:43 kashim93 So...Is actually Goth-Kasa Canon ?!?!

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2022.01.24 17:43 xfranky205 [LFH][PC/Mobile][50-150€][Spain] True wireless earbuds

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2022.01.24 17:43 casullivan0704 Shower Mixing Valve.

I just bought a house and the shower was not working. I confirmed that the water was getting to the shower. I deducted that it was the mixing valve. I pulled out a very old Moen mixing valve. The rubber was falling apart and some debris was plugging the hot and cold feed lines. My question to the group…. I replaced the mixing valve and the valve plate markings show, off , then cold, and hot. The new mixing valve has off in the middle and cold is counter clockwise and hot clockwise. Did I put in the wrong mixer? Thoughts?
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2022.01.24 17:43 MEDIC_UP_CONSULTING What are your LA County CCW questions?

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2022.01.24 17:43 absumo Michael Crowley: Germany and France ‘Stand To Lose A Lot From An Economic war With Russia’

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2022.01.24 17:43 britth09 ROTEL DIP USING KROGER SIMPLE TRUTH QUESO

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2022.01.24 17:43 blaspheminCapn Adams to Bring Back Anti-Gun Police Unit in 3 Weeks

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2022.01.24 17:43 jjthetrainman Here me out: Polar Bears

Great Bear Island is far north enough for polar bears. Maybe in the future a new region is added that has polar bears. Polar bears would be way more aggressive, larger, faster, and stronger than black bears. Of course there'd need to be some reward if you manage to kill one. Since they're the largest bears in the world I was thinking 40 - 60 kilos of meat, and the pelt could be used for a very useful craftable clothing of sorts.
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2022.01.24 17:43 GurLimp2572 Ever wonder what bacteria sounds like amplified to a boiling point and then kicked with spices of native nostalgia and futuristic foreign inert particles? Me too! Just released today!

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2022.01.24 17:43 Alexthegr82006 Flynn's a bit suspicious.

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2022.01.24 17:43 noscoscouser Trans people are in SD news. This sub could be better informed

And with that, here you all are:
What determines sex and gender?
It is important to understand that the key DNA decisions related to sex and gender take place at different developmental points during pregnancy (Sanbonmatsu, 2018).
Sex: Genitals transform into (usually) either female or male during the first trimester of pregnancy.
Gender: Brain structures, on the other hand, transform into (usually) female or male during the second trimester of pregnancy.
How this happens, and how well it happens, is based on a number of factors. These include the mother’s uterine environment, the baby’s hormone receptivity, and the signaling of the DNA within at least 12 of the baby’s genes.
As a result, sex and gender don’t always “match” --- this is called Gender Incongruence. Gender incongruence may cause a person distress or dysphoria.
This is a medical condition - not a mental disorder.
In 2019, the World Health Organization (including the United States) and its 195 member countries determined that Gender Incongruence (when the assigned sex of a person’s body does not match their experienced gender identity) is a biological, medical condition. It is not a mental disorder. That determination is based on more than 50 years of peer-reviewed, international, replicated scientific research.
Beginning in 2022, all medical providers, health systems, and insurance companies in the world — including the United States — will move to using the new revision of the International Classification of Diseases (ICD), a global standard for coding health data from the WHO. The ICD-11 recognizes , Gender Incongruence as a medical condition.
Treatment
If a person has Gender Incongruence (formerly Gender Dysphoria), there are ways to treat the condition to relieve the person’s distress and bring the person’s body (sex) more closely into alignment with their gender identity. Since the 1970s, treatment has been based on a set of international Standards of Care; these are followed by licensed medical and mental health professionals, as well as by insurance companies.
Treatment is a collaboration between the person, their parents (if they are a minor), the mental healthcare provider(s), and the medical providers (primary care, endocrinologist, surgeons). There are specific guidelines for treatment, and for the timing of treatment. Insurance companies will not cover treatment if these requirements are not met.
At puberty, a young person, their parents, and their medical and mental health team members may decide that reversible puberty suppression will reduce the youth’s distress. Research (Pediatrics, 2020) has shown that puberty suppression lowers the likelihood of the youth attempting suicide (the suicide attempt rate for transgender youth is about 60%). Both estrogen and testosterone production are suppressed during this time. Parental consent is required.
At the age of 16, and only with parental consent, hormone replacement therapy (HRT) can be initiated. There are a number of prerequisite conditions that must be met and documented before this begins. HRT is administered in micro-doses so that the form of puberty appropriate for the teen will follow its natural, slow, developmental course. A transgender girl would begin taking estrogen and a testosterone-blocker at this point. A transgender boy would begin taking testosterone.
Chest masculinization is sometimes done at age 16, with parental permission and the agreement of the youth’s medical and mental health teams, however many insurers will not cover that procedure until at least adulthood (age 18 in the U.S.). Again, there are a number of prerequisite conditions that must be met and documented beforehand.
Genital surgeries and facial surgeries are usually done after a person has reached adulthood (age 18 in the U.S.). These decisions are reached by the person and their medical and mental health teams. These surgeries have to be pre-approved by the person’s insurance company. Again, there are a number of prerequisite conditions that must be met and documented before these steps are taken. Not all transgender persons undergo genital and/or facial surgeries.
Although gender-affirming medical and surgical interventions are necessary to support the health of transgender people, some insurance policies exclude these services. For example, South Dakota Medicaid does not cover any mental health or medical treatment for transgender persons.
Note: 58% of transgender persons who have had a professional try to stop them from being transgender and living as their experienced gender identity have attempted suicide. So-called “conversion therapy” has been condemned by the American Medical Association and the other major medical and mental health professional associations in the United States. It is banned in 20 states and Washington, DC.
Respect is essential – It is a matter of life and death
60% of transgender children, teens, and young adults with unsupportive families have attempted suicide.
34% reported a first suicide attempt at younger than 13 years old.
39% reported a first attempt between 14 and 17.
20% reported a first attempt between 18 and 24.
ONLY 4% of transgender children and teens with supportive families have attempted suicide.
Family support saves lives.
Approximately 82% of transgender people have seriously thought about killing themselves at some point because of the ways they are treated by others.
48% of transgender persons have seriously thought about killing themselves in the past year (vs. 4% of the U.S. population)
44% of transgender persons have been denied service at businesses and agencies.
50% of transgender persons have been sexually assaulted.
About 50% of transgender persons report being fired, not hired, or denied a promotion because they are transgender.
58% of transgender persons who have had a professional try to stop them from being transgender and living as their experienced gender identity have attempted suicide.
This is the single most important thing needed for everyone:
Being able to live, love, play, study, and work in an environment where anyone can be fully open about their gender identity and expression without fear of discrimination.
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2022.01.24 17:43 paulo_sw Septum or nostril ? Can’t decide what will fit me better

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2022.01.24 17:43 Wer-Wolf Правительство Ирландии заявило России, что учения ВМФ РФ в исключительной экономической зоне Ирландии в 240 км от южного побережья "не приветствуются"

Правительство Ирландии заявило России, что учения ВМФ РФ в исключительной экономической зоне Ирландии в 240 км от южного побережья submitted by Wer-Wolf to liberta [link] [comments]


2022.01.24 17:43 Impossible-Hall-8878 It's true though

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2022.01.24 17:43 AsakiFox People liked the Spirit Blossom one, so how about my Vtuber cosplaying K/DA Ahri! Art by @Koriinart

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2022.01.24 17:43 RJR1970 [RFK Refugees Podcast Network] on Twitter that they have a live show tonight - 8:30 pm on Twitch

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2022.01.24 17:43 MajorBlingBling Capital One Venture X Reconsideration - Any Success?

Has anyone had any success with capital one reconsideration? I'm trying to get the venture X but been denied due to "length of credit history" (first card is from sept 2020). FICO is 747 though their app letter shows ~30 points lower. Newest card is CSP from Oct 2021 (only 2 cards total)
I don't want to try the reconsideration line if its a waste of time and it'll do another hard pull, so i want to see if anyone has had any success for this card.
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2022.01.24 17:43 JustCommunication640 All the new investors are gaining something invaluable: perspective

If you just started investing in crypto and are down it might really suck. However, as many posts on here are correctly stating, you are in a good position for the long-term. Zoom out. If you only invest with money you don't need immediately, these dips are great as you can accumulate more. Wealth is gained by buying and holding over-time. Volatility is the price of eventually getting massive gains. Buy, hold, and dont worry (or even check) short-term price.
Also, you hopefully will gain something potentially worth more than money: perspective. If you view these early losses as a way to stay humble and not greedy, you might be far richer in the long-term. People who started investing in early 2020 and saw massive gains had a much different experience. They may take it for granted and continue to be consumed by greed. In short, they might not take profits and may even lose money betting on leverage. If you start out in the red, you may start to appreciate any gains more. And not always worry about FOMO-ing.
Of course many people who bought crypto early can certainly be humble. But I think experiencing some big downturns early on will reduce greed and make those eventual gains that much sweeter.
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