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Rajib manages the course segment on option derivatives and also works with exchanges,
financial & educational institutions to design educational programs. He has conducted
workshops and conferences in America, Europe and Asia.
Rajib worked with leading HFT firm Optiver in Amsterdam on options derivatives market
making & high frequency equity arbitrage strategies across all major European & US
exchanges. Before Optiver, Rajib was a management strategy consultant with
PricewaterhouseCoopers where he assisted a consortium in setting up a national commodity
derivatives exchange.
A national Olympiad finalist, Rajib has twice represented India at the World Puzzle
Championships. He has a post-graduate management degree from the Indian Institute of
Management Calcutta, a bachelor’s degree in Computer Engineering from the National
Institute of Technology Surathkal; and has internship experiences with Bloomberg in New York
(equity option derivatives research) & with Solutia’s EMEA strategy HQ in Belgium. 2
Delta
St σ2
ln( ) +(r + )t
d1 = X 2
σ t
z2
x −
1 2
N ( x)=
2π ∫e
−∞
dz
3
Delta
4
Gamma: Delta vs Underlying Price
0.900
0.800
0.700
0.600
Delta of option
0.200
0.100
0.000
80 85 90 95 100 105 110 115 120
Underlying Price
5
Gamma: Delta vs Underlying Price
-0.200
-0.300
-0.400
Delta of option
Put 90 Strike
-0.500
Put 100 Strike
-0.600 Put 110 Strike
-0.700
-0.800
-0.900
-1.000
Underlying Price
6
Charm: Delta vs Time
0.900
0.800
0.700
0.600
Delta of option
0.200
Underlying Price = 100
0.100 Volatility = 20%
0.000
0.0001 25 50 75 100 125 150 175 200
Days to Expiry
7
Charm: Delta vs Time
-0.200
-0.300
-0.400
Delta of option
Put 90 Strike
-0.500 Put 100 Strike
Put 110 Strike
-0.600
-0.700
-1.000
Days to Expiry
8
Vanna: Delta vs Volatility
0.900
0.800
0.700
0.600
Delta of option
0.200
0.100
0.000
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Implied Volatility
9
Vanna: Delta vs Volatility
0.000
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
-0.100
-0.200
-0.300
-0.700
-0.800
-0.900
10
Gamma
11
Speed: Gamma vs Price of Underlying
0.050
0.040
Gamma of option
0.010
0.000
80 85 90 95 100 105 110 115 120
Underlying Price
12
Color: Gamma vs Time
Gamma vs Time
0.500
0.450
0.400
0.350
Delta of option
0.300
0.100
0.050
0.000
0.0001 25 50 75 100 125 150 175 200
Days to Expiry
13
Zomma: Gamma vs Volatility
Gamma vs Volatility
0.500
0.450
0.400
0.350
0.300
Delta of option
0.100
0.050
0.000
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Implied Volatility
14
Vanna: Vega vs Underlying Price
0.180
0.160
0.140
0.120
Vega of option
0.040
0.020
0.000
80 85 90 95 100 105 110 115 120
Underlying Price
15
Veta: Vega vs Time
0.300
0.250
Vega of option
0.200
Call 90 Strike
0.150 Call 100 Strike
Call 110 Strike
0.100
0.050
0.000
0.0001 25 50 75 100 125 150 175 200
Days to Expiry
16
Vomma: Vega vs Volatility
0.180
0.160
0.140
0.120
Vega of option
0.100
Call 90 Strike
0.080 Call 100 Strike
0.040
0.020
0.000
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Implied Volatility
17
Thega: Theta v/s Time to expiration
-20
-40
-60
Theta
K=100
-80
K=110
K=90
-100
-120
-140
-160
Days to expiry
18
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20
Questions?