A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given delta or moneyness. Options...
A form of delta that quantifies the price change effect in relative terms. Instead of absolute movements (which are typically...
A ratio spread which is constructed by involving deltas of options such that a neutral “overall” position is created. To...
In essence, delta is a measure of how long or short the holder of an option position is in terms...
In essence, delta is a measure of how long or short the holder of an option position is in terms...
A state of the delta of an option which makes the variation of an in-the-money option's hedge ratio extremely wide just prior to expiration. It is...
The risk that arises when the price of an asset underlying an option approaches its strike price as it gets closer to expiration date. This is...