analysis risk from following figures. Option Implied volatility Delta Gamma Vega Theta Rho VIX230719C00018000 126.00% 0.591

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analysis risk from following figures.

Option	Implied volatility	Delta	Gamma	Vega	Theta	Rho
VIX230719C00018000	126.00%	0.591	0.047	0.026	-0.033	0.01
VIX230719C00019000	124.00%	0.543	0.049	0.026	-0.033	0.009
VIX230719P00018000	34.00%	-0.475	0.177	0.026	-0.009	-0.013
VIX230719P00020000	21.00%	-0.91	0.119	0.011	-0.001	-0.025

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Market Practice In Financial Modelling

Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Posted Date: May 04, 2024 01:46 AM

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