Strike Price Break Even To Break Even % Change Change Price $205 $205.02 +27.35% +100.00% +$0.01 $0.02 + Bid Mark High Volume Open Interest $0.01 × 100 $0.015 $0.02 816 1,220 Ask Previous Close Low Implied Volatility $0.02 × 90 $0.01 $0.01 73.33% The Greeks Delta Gamma Theta Vega Rho 0.0045 0.0009 -0.0168 0.0026 0.0001
Strike Price Break Even To Break Even % Change Change Price $205 $205.02 +27.35% +100.00% +$0.01 $0.02 + Bid Mark High Volume Open Interest $0.01 × 100 $0.015 $0.02 816 1,220 Ask Previous Close Low Implied Volatility $0.02 × 90 $0.01 $0.01 73.33% The Greeks Delta Gamma Theta Vega Rho 0.0045 0.0009 -0.0168 0.0026 0.0001
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Please explain which each value and term means for beginners:
Transcribed Image Text:### Option Metrics and Greeks Explanation
#### Option Details
- **Strike Price**: $205
- **Break Even**: $205.02
- **To Break Even**: +27.35%
- **% Change**: +100.00%
- **Change**: +$0.01
- **Current Price**: $0.02
#### Bid-Ask Details
- **Bid**: $0.01 × 100
- **Ask**: $0.02 × 90
- **Mark**: $0.015
- **Previous Close**: $0.01
#### Price Range
- **High**: $0.02
- **Low**: $0.01
#### Volume and Interest
- **Volume**: 816
- **Open Interest**: 1,220
- **Implied Volatility**: 73.33%
#### The Greeks
- **Delta**: 0.0045
- **Gamma**: 0.0009
- **Theta**: -0.0168
- **Vega**: 0.0026
- **Rho**: 0.0001
### Understanding the Data:
- **Strike Price**: The fixed price at which the owner can buy or sell the underlying asset.
- **Break Even**: The price at which the option will be profitable.
- **To Break Even**: Percentage increase needed to break even.
- **% Change & Change**: Measures how the option's price has changed over a specific period.
- **Bid and Ask**: Indicates the highest price a buyer is willing to pay and the lowest price a seller will accept.
- **Mark**: The midpoint between the bid and ask prices.
- **Volume & Open Interest**: Number of contracts traded and currently outstanding, respectively.
- **Implied Volatility**: Indicates the market's forecast of a likelihood of changes in a security's price.
#### The Greeks:
- **Delta**: Measures the rate of change of the option value with respect to changes in the underlying asset's price.
- **Gamma**: Represents the rate of change of delta over time.
- **Theta**: Measures the sensitivity of the option's price to the passage of time.
- **Vega**: Indicates sensitivity to volatility.
- **Rho**: Represents sensitivity to interest rate changes.
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