There are two types of volatility measures: implied volatility (how people think the stock will move in the future) and realized volatility (how the stock has moved in the past)

The Deltas of calls and puts both increases as the stock price increases and decrease as the stock price decreases.Delta for a stock is +1 with the delta on a stock sold short at -1.

The Delta of your options will change as the time to expiration becomes shorter. As each day passes, your option Delta will continue on its current path. If your call option is in-the-money, it will start getting closer to 1. If your put option is in-the-money, it will start begin to get closer to -1.Similarly, your at-the-money options, both calls, and puts, will keep their Deltas at 0.50 and -0.50, respectively.Out-of-the-money call and put options will both head towards 0 as the time to expiration gets closer

As implied volatility increases, your option Deltas will get closer to 0.50. In-the-money option Deltas will decrease, at-the-money Deltas will stay the same, and out-of-the-money Deltas will increase.

as implied volatility decreases, your option Delta will begin to move further away from at-the-money. In-the-money options will move closer to 1 and -1, at-the-money options will remain at 0.50, and out-of-the-money options will move towards 0.

At-the money (ATM) option have higesht gamma and higeset vega.

Gamma is affected by the passage of time differently depending on the option's moneyness.If your option is at-the-money, Gamma will increase significantly as you get closer to expiration.

As you get further out-of-the-money or deeper in-the-money, the effect on Gamma is minimized.The further out in time your expiration, the smaller your Gamma will be. If an option is at-the-money, and implied volatility begins to increase, Gamma will not increase. Again, this is because your Delta is not moving.

 higher the vega if volatiitly increse,Higher the vega if The more time remaining to option expiration,. This makes sense as time value makes up a larger proportion of the premium for longer term options and it is the time value that is sensitive to changes in volatility.vega decrease if option near to expiration.vega is also lower for current expiry among 3 week  contracts ,vega of the call and the put on the same strike and expiration is the same.whenever volatility goes up, the price of the option goes up and when volatility drops, the price of the option will also fall. Therefore, when calculating the new option price due to volatility changes, we add the vega when volatility goes up but subtract it when the volatility falls.

Volatility Minimizes The Effect of Theta.One place this is apparent is over the weekend. Look at the volatility of the S&P 500, how it increases on Friday and decreases on Monday.

Another way we can observe volatility's effect on time decay is during earnings. An option's price won't typically increase or decrease leading up to earnings as time passes. The reason for this is, volatility is also moving higher and offsetting time.

short Straddles and strangles are volatility strategies designed to profit from either weak price action in the underlying and/or a decline in implied volatility.

short straddle /strnagle means   your are  short gama and short vega and long theta assuming all other thgings unchanged   

short straddles are less sensitive to time decay than short strangles. Thus, when there is little or no stock price movement, a short straddle will experience a lower percentage profit over a given time period than a comparable neutral strategies is the short straddle. These typically start delta neutral, or close too it, but as the underlying stock moves, the position starts to pick up either positive or negative delta.If the stock rallies, the short straddle will show negative delta (i.e. the trader wants the stock to fall back into the straddle zone). Conversely, if the stock falls, the short straddle will show positive delta (the trader wants the stock to rise back up).

breakeven points for a short strangle are further apart than for a comparable straddle.

A short strangle has a larger area of profitability.Strangles tend to be a lower premium strategy as compared to straddles, but the probability that you lose all of your premium is also higher.

.In general,, we won’t be exploring trades that involve naked short straddles - strangles , but might consider in a situation where a trader already has a stock position or where we do a short straddle as one part of a multi-tier strategy and expiry data we will move to new contract if shorting stradle and strnagle


LONG Iron Condor Greek Cheat Sheet

Delta SHORT  Gamma SHORT  Vega SHORT  Theta LONG



gallery/option in robo