Thursday, October 4, 2012

EFFECT OF DIFFERENT PARAMETERS ON DELTA:



EFFECT OF DIFFERENT PARAMETERS ON DELTA:

DELTA with respect to change in SPOT PRICE:
SPOT
5600
5700
5800
5900
6000
6100
6200
6300
6400
STRIKE
6000
6000
6000
6000
6000
6000
6000
6000
6000
Days to Expiry
29
29
29
29
29
29
29
29
29
Volatility
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
Call Premium
57.25
82.48
114.74
154.61
202.35
257.92
320.98
390.97
467.14
Put Premium
457.25
382.48
314.74
254.61
202.35
157.92
120.98
90.97
67.14
Call Delta
0.2196
0.2863
0.3599
0.4378
0.5169
0.594
0.6664
0.7321
0.7897
Put  Delta
-0.7804
-0.7137
-0.6401
-0.5622
-0.4831
-0.406
-0.3336
-0.2679
-0.2103

Observations:
- As spot price increases call premium increases and put premium decreases.
- As spot price increases call delta increases and put delta decreases.


DELTA with respect to change in STRIKE PRICE:
SPOT
6000
6000
6000
6000
6000
6000
6000
6000
6000
STRIKE
5600
5700
5800
5900
6000
6100
6200
6300
6400
Days to Expiry
29
29
29
29
29
29
29
29
29
Volatility
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
Call Premium
457.25
382.48
314.74
254.61
202.35
157.92
120.98
90.97
67.14
Put Premium
57.25
82.48
114.74
154.61
202.35
257.92
320.98
390.97
467.14
Call Delta
0.8046
0.7418
0.6712
0.5952
0.5169
0.4391
0.3649
0.2964
0.2355
Put  Delta
-0.1954
-0.2582
-0.3288
-0.4048
-0.4831
-0.5609
-0.6351
-0.7036
-0.7645
Observations:
 - As Strike price Increases
- Call premium decreases and Put premium increases.
- Call Delta decreases and Put Delta increases.


DELTA with respect to change in DAYS TO EXPIRY:
SPOT
6000
6000
6000
6000
6000
6000
6000
6000
6000
STRIKE
6000
6000
6000
6000
6000
6000
6000
6000
6000
Days to Expiry
29
20
15
10
5
4
3
2
1
Volatility
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
Call Premium
202.35
168.05
145.55
118.84
84.04
75.17
65.10
53.15
37.58
Put Premium
202.35
168.05
145.55
118.84
84.04
75.17
65.10
53.15
37.58
Call Delta
0.5169
0.5140
0.5121
0.5099
0.5070
0.5063
0.5054
0.5044
0.5031
Put  Delta
-0.4831
-0.4860
-0.4879
-0.4901
-0.4930
-0.4937
-0.4946
-0.4956
-0.4969
Gamma
0.0008
0.0009
0.0011
0.0013
0.0019
0.0021
0.0024
0.0030
0.0042

Observations:
As days to expiry decreases
- Both Call and Put Premium decrease.
- Call Delta decrease and Put Delta increases (Both move towards 0.5).
- ATM Options approaches to 0.5 or -0.5
- ITM Options approaches to 1 or -1
- OTM Options approaches to 0


DELTA with respect to change in VOLATILITY:
SPOT
6000
6000
6000
6000
6000
6000
6000
6000
6000
STRIKE
6000
6000
6000
6000
6000
6000
6000
6000
6000
Days to Expiry
29
29
29
29
29
29
29
29
29
Volatility
100 %
80 %
60 %
50 %
40 %
30 %
20 %
10 %
1 %
Call Premium
672.48
538.62
404.34
337.07
269.74
202.35
134.92
67.47
6.75
Put Premium
672.48
538.62
404.34
337.07
269.74
202.35
134.92
67.47
6.75
Call Delta
0.5560
0.5449
0.5337
0.5281
0.5225
0.5169
0.5112
0.5056
0.5006
Put  Delta
-0.4440
-0.4551
-0.4663
-0.4719
-0.4775
-0.4831
-0.4888
-0.4944
-0.4994
Observations:
As Volatility decreases
- Both Call and Put Premium decreases.
- Call Delta decreases and Put Delta Increases as both approaches to 0.5 and -0.5 respectively.




DELTA with respect to change in RATE OF INTEREST:
SPOT
6000
6000
6000
6000
6000
6000
6000
6000
6000
STRIKE
6000
6000
6000
6000
6000
6000
6000
6000
6000
Days to Expiry
29
29
29
29
29
29
29
29
29
Volatility
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
30 %
Rate of Interest
50 %
40 %
30 %
20 %
10 %
5 %
3%
2 %
1 %
Call Premium
336.73
306.92
278.51
251.58
226.17
214.06
209.33
206.99
204.66
Put Premium
103.05
119.23
137.19
156.99
178.69
190.27
195.04
197.46
199.89
Call Delta
0.6957
0.6621
0.6271
0.591
0.5542
0.5356
0.5281
0.5243
0.5206
Put  Delta
-0.3043
-0.3379
-0.3729
-0.409
-0.4458
-0.4644
-0.4719
-0.4757
-0.4794
Observations:
As Rate of Interest decreases
- Call Premium decreases and Put Premium increases.
- Call Delta decreases and Put Delta increases.



DELTA RELATIONSHIP:

Variables
Call Delta
Put Delta
Spot
Positive
Negative
Strike
Negative
Positive
Volatility
Positive
Negative
Time
Positive
Negative
Rate of Interest
Positive
Negative



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