The delta of a call option ranges from 0 for an

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The delta of a call option ranges from 0, for an option that is very far out of the money, to 1.0 for a call that is very deep in the money. Delta hedging requires rebalancing the proportions of stock and the option continuously, as the stock price moves and as time elapses. The Partial Derivatives of the Call Value Function
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Gamma γ = 0.08 Initially After the change Spot price 100 Call delta 0 .50 0.58 101
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The other partial derivatives of the option function are also of importance in hedging, so the Greek alphabet is well represented. These measures of exposure to different types of risk affecting option value are commonly known as "the Greeks." The Partial Derivatives of the Call Value Function
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Theta Theta of a derivative (or portfolio of derivatives) is the rate of change of the value with respect to the passage of time The theta of a call or put is usually negative . This means that, if time passes with the price of the underlying asset and its volatility remaining the same, the value of a long option declines
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Theta θ = 0.05 Initially After the change Days until expiration 35 Call price 3 .50 3.45 34
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