Skip to main content

"Financial indicators" area in the search parameters of the options search


In the "Financial indicators" area of the options search, you can narrow down the search by using financial indicators. To do this, select the checkboxes on the far left to select the corresponding criteria and specify your search criteria:

ID

Description

Delta

Enter the minimum and/or maximum allowable delta here.

Delta refers to the dependence of the option on the underlying price. If the price of the underlying rises by one euro, then the option price should theoretically rise by the delta value. For calls, the delta is always between 0 and 1, and for puts between -1 and 0.

For example, if an option has a delta of 0.5, then a rise of the underlying by €10 would result in option price rise by €5. Because the option costs only a fraction of the underlying, the percentage gain with the option is substantially higher.

Options with a delta close to 1 respond almost like equities. These are typically options which are heavily in the money and have partly lost their speculative character. At-the-money calls usually show a Delta of 0.5 while calls that are heavily out of the money have very small Deltas.

Omega

Enter the minimum and/or maximum allowed omega here.

The omega indicates the percentage by which the option value changes if the strike price changes by 1 percent.

Omega is an indicator that estimates the future (that is, "effective") leverage of an option. Because of its lower price, the option value reacts stronger in percentage terms than the corresponding underlying. The option is therefore always more volatile than this underlying instrument.

The omega is obtained by multiplying the delta by the current leverage. For example, an option with a current leverage of 10 and a delta of 50% has an omega of 5, that is, the option rises by about 5% if the underlying rises by 1%. However, it should be noted here that

delta and omega change constantly like most other financial indicators.

Gamma

Enter the minimum and/or maximum allowed gamma here.

The gamma measures the sensitivity of the delta in relation to changes of the underlying price.

The gamma shows by what amount the delta has changed when there is change in the underlying price. The Gamma must always be positive.

Formula: Delta old + gamma = delta new

Example

The price of one equity rises from EUR 100 to EUR 101. Initially, a call has a delta of 0.50. The increase in the equity price to EUR 101 changes the delta to 0.55. The gamma is then 0.05. In other words: The option will track future changes in the underlying asset in the same direction to a greater extent in absolute terms. The gamma is positive for both calls and puts, because the delta of the call changes from 0 to +1 and the delta of the put from -1 to 0 (and thus becomes larger in both cases). It is generally assumed that prices are constantly rising.

Theta

Enter the minimum and/or maximum allowed theta here.

The weekly theta of an option shows for example by what amount the time value decreases in a week.

Options lose their premium over time, until they have only their intrinsic value on expiration date The amount of the always negative theta increases with the shortening remaining of the option.

The Theta is particularly interesting for option sellers; that is, then you have sold a call or put. For each day that the price does not move significantly, the option seller earns the time value.

This parameter and all parameters below it in the table are hidden by default. For more information on displaying parameters, see Configuring the areas of the search parameters.

Rho

Enter the minimum and/or maximum permissible rho here.

Rho (sometimes referred to as "epsilon") indicates how the value of an option behaves when the interest rate changes by one percent.

As the interest on risk-free investments is also taken into account in the fair price calculation, you can also calculate the change in a warrant's value given a change in the interest rate.

The impact is generally less for options a short remaining term than for options with a longer remaining term.

Vega

Enter the minimum and/or maximum allowed vega here.

The vega (sometimes referred to as "kappa") shows the dependency of the fair price on the volatility.

The higher the volatility of an underlying, the greater the value of the option. If the volatility of an underlying increases, then the value of the option increases by the value called vega.

The vega thus indicates the expected absolute change in the option price in the event of a change in volatility by one percentage point. Calls and puts become equally expensive when volatility increases, so the vega is positive.

JavaScript errors detected

Please note, these errors can depend on your browser setup.

If this problem persists, please contact our support.