https://gdpark.blog/tags/options/Recent content in Options on gdpark.blogHugoenSat, 17 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-01-introduction-to-derivatives/Thu, 13 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-01-introduction-to-derivatives/Kicking off a derivatives series with a skim of Hull Chapter 1 — futures vs. options, hedging vs. speculation, and the quiz-first study method.https://gdpark.blog/posts/financial-engineering-01-call-options-put-options/Thu, 01 Sep 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-01-call-options-put-options/A casual dive into call and put options — what they actually mean, why Black–Scholes blew the market wide open, and yes, there’s a dropped-class backstory involved.https://gdpark.blog/posts/financial-engineering-02-intrinsic-value-time-value-of-options/Thu, 01 Sep 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-02-intrinsic-value-time-value-of-options/Option value splits into two pieces — intrinsic value (the profit you’d lock in right now) and time value (all that probabilistic could-happen-later stuff) — here’s how they work.https://gdpark.blog/posts/financial-engineering-03-put-call-parity/Wed, 07 Sep 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-03-put-call-parity/Before jumping into the binomial model, we lock in put-call parity — the neat reason knowing a European call’s price automatically pins down its put, and vice versa.https://gdpark.blog/posts/financial-engineering-08-wiener-process/Mon, 03 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-08-wiener-process/Can’t derive Black-Scholes and not even gonna try — instead we’re just coding it up while taking a detour through Brownian motion and Geometric Brownian Motion.https://gdpark.blog/posts/derivatives-10-options/Mon, 28 Nov 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-10-options/A casual intro to options — call vs. put, why theoretical prices even matter, and how Black-Scholes blew the whole market wide open.https://gdpark.blog/posts/derivatives-11-properties-of-stock-options/Mon, 28 Nov 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-11-properties-of-stock-options/Breaking down every variable that moves option prices — S, K, T, σ, r, and D — and why European vs. American options handle time to expiration differently.https://gdpark.blog/posts/financial-engineering-11-volatility/Thu, 20 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-11-volatility/Breaking down historical and implied volatility — what they are, why we care, and how to actually compute historical vol from weekly price data in VBA.https://gdpark.blog/posts/derivatives-12-options-practice-problems/Mon, 28 Nov 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-12-options-practice-problems/Working through options pricing problems — lower bounds on calls and puts, why American options always beat intrinsic value, and when put-call parity breaks down.https://gdpark.blog/posts/financial-engineering-12-midterm-exam-review/Thu, 17 Nov 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-12-midterm-exam-review/A visual midterm exam review covering options Greeks like delta and gamma, dynamic delta hedging strategies, and related VBA concepts.https://gdpark.blog/posts/derivatives-13-options-trading-strategies-part-1-spreads-bull-spread-bear-s/Wed, 14 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-13-options-trading-strategies-part-1-spreads-bull-spread-bear-s/We finally stop staring at one lonely option and start building real portfolios — covered calls, protective puts, and every spread you’d want to know.https://gdpark.blog/posts/financial-engineering-13-implied-volatility/Fri, 09 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-13-implied-volatility/Flip the BS formula backwards — plug in the real market price, leave σ blank, and whatever volatility makes it work? That’s implied volatility, baby.https://gdpark.blog/posts/derivatives-14-options-trading-strategies-part-2-combinations-and-practice/Wed, 14 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-14-options-trading-strategies-part-2-combinations-and-practice/Wrapping up options combinations — straddles, strangles, strips, and straps — and figuring out which one to pick depending on your vol view and your wallet.https://gdpark.blog/posts/derivatives-18-stock-index-options-and-currency-options/Fri, 16 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-18-stock-index-options-and-currency-options/Extending Black-Scholes to handle dividends, stock index options, and currency options — turns out it’s basically the same trick each time.https://gdpark.blog/posts/derivatives-19-stock-index-options-and-currency-options-practice-problems/Sat, 17 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-19-stock-index-options-and-currency-options-practice-problems/Practice problems on currency and stock index options — lower bounds, put-call parity, Black-Scholes puts, and hedging a portfolio with index puts.https://gdpark.blog/posts/derivatives-20-the-greeks/Sat, 17 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-20-the-greeks/A casual walkthrough of why hedging exists and a few ‘dumb’ strategies before the real stuff — delta hedging — explained like chatting with someone in the field.https://gdpark.blog/posts/derivatives-21-the-greeks-practice-problems/Sat, 17 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-21-the-greeks-practice-problems/Working through Greeks practice problems — stop-loss strategies, futures option deltas, and hedging a short call position on silver futures.