p******e
发帖数: 756 | 1 call option，如果拿公式很好看
但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
看出增加。
thx |
a****y
发帖数: 99 | 2 问个很傻的问题， 什么是vol 啊？谢了先
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
p******e
发帖数: 756 | 3 volatility
【在 a****y 的大作中提到】
: 问个很傻的问题， 什么是vol 啊？谢了先
|
m********0
发帖数: 2717 | 4 In practice, you can't find a solid relationship between iv and delta.
for example, for ITM call,
when IV spikes, you could see underlying moving to either directions.
It could just means participants have diverse opinions. so delta could
change either way.
I guess the assumption is underlying price does not move, even in this
case, the conclusions for ITM and OTM are different.
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
p******e
发帖数: 756 | 5 假设 black scholes model, european call
我理解这个题目就是简单的sigma 和delta的关系,而不涉及implied volatility.但我
不知道怎么定性的分析趋势
thx
【在 m********0 的大作中提到】
: In practice, you can't find a solid relationship between iv and delta.
: for example, for ITM call,
: when IV spikes, you could see underlying moving to either directions.
: It could just means participants have diverse opinions. so delta could
: change either way.
: I guess the assumption is underlying price does not move, even in this
: case, the conclusions for ITM and OTM are different.
|
q**********a
发帖数: 4 | 6
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
q**********a
发帖数: 4 | 7 if vol decreases, the diffusion of the distribution is smaller, the same
magnitude of the movement on S has different probabilities, the smaller
vol will have larger probability for the same size of movement on S.
therefore, the option value should have larger change. => delta increases
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
l*******1
发帖数: 113 | 8 for OTM : vol goes down, delta goes down
for ITM: vol goes down, delta goes up |
p******e
发帖数: 756 | 9 能解释下OTM的情形么, vol=0, delta还是最大,1阿.或者你说的是local的趋势
【在 l*******1 的大作中提到】
: for OTM : vol goes down, delta goes down
: for ITM: vol goes down, delta goes up
|
u******s
发帖数: 157 | 10 You can decompose Delta into two parts, namely
delta = N(xxx/sigma + yyy*sigma), where N is Normal cdf.
So, when sigma increases from 0 to a certain point, the decrement of xxx/
sigma dominates, thus delta decreases.
After that critical point, yyy*sigma dominates and delta increases.You can
decompose Delta into two parts, namely
delta = xxx/sigma + yyy*sigma.
So, when sigma increases from 0 to a certain point, the decrement of xxx/
sigma dominates, thus delta decreases.
After that critical point, yyy*sigma dominates and delta increases. |
|
|
C*F
发帖数: 2513 | 11 you are basically looking at the sign of vanna
vanna = dDelta/dVol = dVega/dSpot
we all know vega is bell-shaped against spot, therefore,
OTM: dDelta/dVol > 0
ITM: dDelta/dVol < 0 |
z****u
发帖数: 185 | 12 In any meaningful formula which really matters, vol always appear with time,
or, time-to-maturity. The dependency of delta on vol is the same thing as
the dependency of delta on time-to-maturity (with volatility fixed), which
is straightforward.
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
g******e
发帖数: 352 | 13 vol =0
delta = 1 if ITM
delta = 0 if OTM
所以增加还是减少应该跟strike有关
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
g******e
发帖数: 352 | 14 zan!
【在 C*F 的大作中提到】
: you are basically looking at the sign of vanna
: vanna = dDelta/dVol = dVega/dSpot
: we all know vega is bell-shaped against spot, therefore,
: OTM: dDelta/dVol > 0
: ITM: dDelta/dVol < 0
|
z***e
发帖数: 5600 | 15 Say out of money call, strike 1 stdev away from spot,
now vol has suddenly doubled, same option is now only 1/2 away from spot
more likely to "hit", and delta increases
【在 p******e 的大作中提到】
: call option，如果拿公式很好看
: 但怎么直观解释vol减小，delta怎么变呢。极值情况，比如vol=0，delta=1，倒是可以
: 看出增加。
: thx
|
t*******z
发帖数: 606 | 16 basically you are talking about cross greeks. pretty tricky.
the common practice on interest rate desk is:
if it is normal model, then cross greek between vol and delta will be small
and you don't need to worry too much.
if it is lognormal model, vol will change when rate change, lambda( or cross
) will be significant.
That's the major reason why most interest rate desk use normal model instead
of lognormal model. |
