Tricks to remember the greeks

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rf040234

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Vega (V stands for volatility…) sensitivity of option price to changes in volatility of returns on the underlying assets
Rho (R stands for risk-free rate…) sensitivity of option price to changes in the risk-free rate
Theta (T stands for time…) sensitivity of option price to passages of time…
Probably the only thing you need to memorize is the Delta….
 
You should also remember the SPARTANS!!! FOR SPARTA!!!!!!!!
sorry i’ve been playing 300 in the background while i study, I think my rationality was something about motivation or something. meh… i’m sure i convinced myself that was a good idea for some reason.
 
well my friend, go out there and conquer the greeks!!!
 
Delta = Duration
Also, what about Gamma?. Sounds like “Grandma” but that doesn’t help me remember it is convexity.
Oh wait, the hump on my Grammy back is convex. Hey if it works….
 
Grandma check on how well his son Delta is doing the job of measuring the effect of changes of the underlying asset.
thats another way to remember delta and Gamma
 
Thanks guys for the inputs, now we have a complete, grandma, his son delta and some other spartan relatives (Vega, Rho, Theta…)
 
Yeah I normally think of Delta Goodrem (because she’s hot). And she is for some reason (ludicrously) managing her Grandma (Gamma) ‘s assets.
For some reason Gamma wants to measure Deltas change due to the underlying assets.
Yes, CFA revision has made me a sad, nerdy loser.
 
DIVUTS
DUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUD
 
Duration is the first derivative (slope) of the yield curve. Convexity is the second derivative (change in slope).
Delta is the first derivative of price of an option. Gamma is the second derivative.
The reason they look so similar, and have such similar meanings, is because they are similar operations.
Theata, Rho and Vega are also derivatives, but on different functions.
 
TheAliMan Wrote:
——————————————————-
> DIVUTS
>
> DUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUU
> UUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUUD
What does it stand for?
 
DIVUTS
on call option
dividends, interest rate, volatility, underlying, time, strike
If the above increase
DUUUD
value of the call goes down, up, up, up, up, down
or in my case,
down, up, up, up, up, up, up, up, up, up, up, up, up, up, up, up, up, up, up, up, down (exam time)
Don’t thank me for this, thank CPK1000
 
I mean to say thank him for the DIVUTS DUUUUD formula. Also, I’ve changed his nickname to CPK1000 because it has a more “computational” sound to it. Last time I checked, CPK was a supercomputer
 
Gamma in the Greek alphabet coresponds to C in the modern English alphabet.
Gamma is the equivelant to Convexity. Therefore…
Delta - D - Duration
Gamma - C - Convexity
Rho - R - Rate (or risk-free rate)
Theta - T - Time
Vega - V - Volatility
Hope that helps….
 
Quick disclaimer..
We think DIVUTS, DUUUUUD for call so ….intutively UDDDDDU for put (which will be partially wrong… remember them correctly)
 
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