Call or Put Analyser_Conversion on a lot basis


#1

Hello,

@Sensibull : Thanks for a great tool i.e. Call or Put analyser. I have a little doubt while using it.

While checking out the Greeks at the bottom of the page, I would like to understand the calculation when you change them on the 'per lot ’ basis.

For eg.- Wipro has a lot size of 3200. So, for a 281.25 CE (LTP Prem- 8.20, target of 285, delta 0.55), lot level value should be = (285-282.95) X 0.55 X 3200 = 3608. However, the value I can see there is 1761.5.

Attaching the screenshot as well. Am I doing sth wrong here?

Thanks again for a wonderful tool!


#2

Ah no. Delta is just 0.55*3200. What you did by multiplying with the movement which is 285-282.95 is the rough P&L due to the underlying move


#3

Oh! Sure… My bad!

Delta is the option price change for a Re.1 movement in the underlying.

Thanks for such a quick response!! :slightly_smiling_face:


#4

Gamma and theta are always a positive numbers for both call and puts right but why here it is in negative am I wrong with my understanding.And wat are the values of delta theta Gamma indicating here.He is selecting slightly otm calls so let us assume delta as 0.3 for a change of 4rupees in the underlying 0.3*4=1.2 the new premium will be 9.40 ryt.