On the basis of the study conducted in furtherance of this project the author concludes that in the time period assumed, the delta neutral portfolio created was profitable for option expiring in April while was in loss for March expiry. Yes, thanks for the comment. Anybody can ask a question. But at least the setting in the "perfect world" is now clear to me. From my previous post on mitigating gamma losseswe know that options exhibit large gamma at the money close to expiration. Podcast Data Team Assemble!




On your puy visit to SAGE Journals please set a new password Options are used by hedgers to reduce risk. A better way implemented by the companies these days is to shorh the delta value of options to create a portfolio having minimum risk. This portfolio has a delta value of zero. Due to the market changes the delta value changes and thus the portfolio needs to be xelta regularly. In this study, it was observed the delta value of six options of March expiry and six options of April expiry of Nifty which is traded over National Stock Exchange over the time period of 4th March to 15th April, With the help of delta values, a portfolio has been created using a call and put option of strike price Fifty One Hundred.

The changes in the market over this period have been reflected in the delta values and accordingly the portfolio has been rebalanced on a per day basis. Along with this, various hypothesis regarding options have been tested. The different types of options have been analyzed and the most expensive and cheapest ones have been identified. The relation between time value of option and time of maturity has been verified.

The volatility of options has been compared with market volatility and also with the strike price of respective option. These findings are explained theoretically and finally tested on the touchstone of historical data collected from the site of National Stock Exchange and values calculated with the help of standard formulae already available. The findings of the study are in consonance with the various theories about Options available.

On the basis of the study conducted in furtherance of this project the author concludes that in the time period optoon, the delta neutral portfolio created was profitable for option expiring in April while was in loss for March expiry. Satyendra Kumar Sharma 1 hedgimg, Arun Kumar Vaish 2Rajan Pandey 3Charu Gupta 4 Birla Institute of Technology and Science BITS, Delta hedging short put option 01Vidya Vihar Campus, Pilani dletaRajasthan, India. If you have the appropriate software installed, you can download article citation data to the citation manager of your choice.

Simply select your manager software from the list below and click on download. For more information or tips please see 'Downloading to a citation manager' in the Help menu. Sign in to my Account. On your first visit to SAGE Journals please set a new password. Sign In: Registered Users. Asia-Pacific Journal of Management Research and Innovation.

Satyendra Kumar Sharma 1 Satyendra Kumar Sharma Birla Institute of Technology and Science BITS, Pilani hedgjng, Vidya Vihar Campus, Pilani —Rajasthan, India See all articles by this author. Article first published online: October 1, ; Issue published: October 1, Abstract Options are used by hedgers to reduce risk. Vol 6, Issue 4, Article Contents Article Metrics Related Articles Comments.

Vol 6, Shkrt 4, pp. Delta hedging short put option 01 more information or tips please see potion to a citation manager' in the Help menu. RIS Shory, Reference Manager EndNote BibTex Medlars RefWorks. Download article citation data for:. Dynamic Delta Hedging Satyendra Kumar SharmaArun Kumar Vaish hedbing, Rajan PandeyCharu Gupta. Send me a copy. The ultimate social sciences library. The ultimate methods library.

Asia-Pacific Institute of Management. First Published October 1, Mihir Dash Kavitha V. Taleb NassimDynamic Hedging: Managing Vanilla and Exotic Options, Publisher Wileypp.




Delta Hedging Explained


Department of Finance Florida International University — Delta hedging a written option involves a “buy — Black-Scholes Put Delta. Binary put option delta measures the change in the binary put option price Hedging with Binary Put Option Deltas. 0. 01 -Day Binary & Conventional Put Option Delta. Options Delta Hedging with Example Now you have a net short delta, For an ITM put option the delta is already negative.