求助一个关于期权希腊字母的问题

EclipseMe

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收藏 2014-11-09

期权行情里希腊字母的变化是包含了隐含波动率的变动吗？还是只是因为标的价格，到期天数等因素的变动？谢谢

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Chemist_MZ

2014-11-9 20:44:57

For Delta and Gamma it should not include the change of implied volatility. Only underlying changes. But for Vega, of course, only implied volatility changes :-)

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EclipseMe

2014-11-9 22:20:43

Chemist_MZ 发表于 2014-11-9 20:44
For Delta and Gamma it should not include the change of implied volatility. Only underlying changes. ...

Thanks for your reply.
But the N(d1), which equals to call's delta, includes the sigma. Does that mean if I want to compute the real-time delta, I need to use the implied vol to get that number?

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Chemist_MZ

2014-11-9 23:17:40

EclipseMe 发表于 2014-11-9 22:20
Thanks for your reply.
But the N(d1), which equals to call's delta, includes the sigma. Does tha ...

Yes, of course. You should use the iv at the time you want to calculate delta

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