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analysis risk from following figures. Option Implied volatility Delta Gamma Vega Theta Rho VIX230719C00018000 126.00% 0.591 0.047 0.026 -0.033 0.01 VIX230719C00019000 124.00% 0.543 0.049
analysis risk from following figures.
| Option | Implied volatility | Delta | Gamma | Vega | Theta | Rho |
| VIX230719C00018000 | 126.00% | 0.591 | 0.047 | 0.026 | -0.033 | 0.01 |
| VIX230719C00019000 | 124.00% | 0.543 | 0.049 | 0.026 | -0.033 | 0.009 |
| VIX230719P00018000 | 34.00% | -0.475 | 0.177 | 0.026 | -0.009 | -0.013 |
| VIX230719P00020000 | 21.00% | -0.91 | 0.119 | 0.011 | -0.001 | -0.025 |
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Step: 1
Looking at the given options with respect to implied volatility delta gamma vega theta and rho we can analyze the risk profile as follows Implied Vola...
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Market Practice In Financial Modelling
Authors: Tan Chia Chiang
1st Edition
9814366544, 978-9814366540
