What is the delta of an ETF fund like NIFTY BEES and BANKBEES


#1

Hello,

I recently learnt about NIFTYBEES and BANKBEES. I want to try paper trading some hedging strategies with NIFTYBEES and BANKBEES (BEES+Options). So, I would like to know the Delta of these two BEES.

Is the delta of a these BEES fund derived by dividing by Index value. e.g NIFTY is 10876 today [2-dec-2018] and I see NIFTYBEES value as 1135. So, delta would be? (1135/10876=0.1)? Is this delta value constant?
for bankniftyBEES (2736/26862=0.1)? Again is this delta constant? Does it have a vega value also?

Any pointers towards some good strategy also helpful. I was watching this video when I got to know about this.
Hope this video helps others too. https://www.youtube.com/watch?v=wgCMUdhh-yM


#2

BEES are not options, options have the full range of Greeks applicable.

The Delta part can be assumed to be correct, but it if you have a delta 0.1, its gamma will always be 1.
Bcos Gamma is constant, you can have a constant delta.

So BEES will move more like futures rather than options.
Since BEES are not options, they wont have Vega or Theta the way I see it.


#3

That was my understanding too. Thanks for confirming.
Cheers


#4

I believe one has to see tracking error for these instead delta, as these track their respective indices.