Options are derivatives. They derive their value from how the underlying actually moves as well as the market’s perception of how much they will move. So there’s a realized and implied component to the value of an option. When people start using options they are usually attracted to them as an inherently levered way to … Continue reading Why Option Traders Focus on Vega →| Party at the Moontower
Unless you are a bond or derivatives trader, the term “convexity” usually just makes you want to say “beat it, nerd”. As if to frustrate us further it has many aliases: “curvature”, “non-linearity”, “gamma”. It turns out, for such a fancy word “convexity” is quite approachable. In this post, we will learn: what it looks … Continue reading Where Does Convexity Come From? →| Party at the Moontower
I was chatting with a quant friend who was bouncing an options idea off me. In the course of the conversation, he was surprised I did not assume the .50 delta option was the ATM (at-the-money) option. My friend is much smarter than me on finance stuff but options aren’t his native professional language. So … Continue reading Lessons From The .50 Delta Option →| Party at the Moontower
