greeks
Reduce the Risk Associated with Time Value Decay
Martin Noël
Reduce the risk associated with time value decay In this article, we will examine how to reduce the risk associated with the time value decay of options in a directional position, as well as how this affects the strategy’s payoff profile. As can be seen in the following chart, the price of shares in BCE Inc. (BCE) have...
The Greeks: Theta
Martin Noël
This week, we will look at another Greek variable: theta. Theta measures the change in the price of an option following a change in the time remaining to its expiration. You will recall that an option’s premium has two components: intrinsic value and time value. But since an option that has reached expiration has run out of...
The Greeks: Delta
Martin Noël
In the last few articles, we have seen that there are several variables that have an impact on the value of options. This table illustrates how an increase in one of the variables affects the values of call and put options. As you can see, with all other things being equal, when one of the variables moves, we should expect the...
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