"Sensitivities" area
In the "Sensitivities" section, you can see the calculated values of the sensitivities ("Greeks"):
ID | Description |
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Delta | Delta refers to the dependency of the option price on the underlying price. If the price of the underlying rises by one euro, then the warrant 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 a warrant has a delta of 0.5, then the increase of an underlying by 10.00 euro would result in the price of the option rising by 5.00 euro. Because the warrant costs only a fraction of of the underlying, the percentage gain with warrants is substantially higher. Warrant with a delta close to 1 respond almost like your underlying instruments. These are typically warrants 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. |
Gamma | 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 share rises from 100 euro to 101 euro. Initially, a call has a delta of 0.50. The increase in the share price to 101 euro changes the delta to 0.55. The gamma is then 0.05. In other words: The warrant 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. |
Omega | 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 reacts stronger in value in percentage terms than the corresponding underlying. The warrant is therefore always more volatile than the underlying. The omega is obtained by multiplying the delta by the current leverage. For example, a warrant with a current leverage of 10 and a delta of 50% has an omega of 5, that is, the warrant rises by about 5% if the underlying rises by 1%. However, it should be noted that delta and omega, like most other key figures, are constantly changing. |
Vega | 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 warrant. If the volatility of a the underlying increases, then the value of the warrant increases by the value called vega. The vega thus indicates the expected absolute change in the warrant 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. |
Theta (per day) | The daily theta of a warrant shows by what amount the time value decreases daily. Warrants lose their premium over time until they have only their intrinsic value on the expiration date. The amount of the always negative theta increases with the shortening remaining term of the warrant. |
Rho | Rho (sometimes referred to as "epsilon") indicates how the value of a warrant behaves when the interest rate changes by one percent. Because 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 warrants with a short remaining term than for warrants with a longer remaining term. |