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期权希腊字母 (Option Greeks)

描述

一组测量指标(Delta、Gamma、Theta 和 Vega),用于描述期权价格如何随标的资产价格或时间衰减等标的变量的变化而变化。

以下是每个期权希腊字母的解释:

Delta – 衡量标的资产价格每波动一个点时期权价格的变化率。它可以指示期权在到期时以价内期权结束的概率。

Gamma – 表示标的资产价格每上涨一个点时 Delta 的变化率。这有助于评估期权 Delta 的稳定性,并深入了解 Delta 随市场波动的变化情况。

Theta – 表示期权价格随时间推移而下降的速率,也称为时间衰减。它量化了在所有其他因素保持不变的情况下,期权价格每天下降的幅度。

Vega – 衡量期权价格对标的资产波动率变化的敏感度。Vega 值越高,意味着期权价格对波动率变化越敏感,从而影响期权的溢价成本。

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