From Baidu: Financial Options
Volume and position show the activity of an option contract. The greater the ratio of put option volume to call option volume (volume P/C), the more empty the market sentiment is, and the role of position P/C and transaction amount P/C is similar.
Implied volatility (IV) is the basic volatility derived from the option price, which has the same mean regression characteristics as the basic historical volatility (HV). The greater the difference between IV and HV, the greater the market divergence, and the expected fluctuation of the target will increase.
Leverage ratio = target price/option price, real leverage ratio = target price/option price ×Delta. The higher the imaginary value, the higher the leverage ratio. The negative leverage ratio of put option means that the option price falls with the increase of the underlying price.
△: change of underlying assets 1 unit, and the amount of option price change. Positive numbers represent the same change, and negative numbers represent the opposite change. The range of call option Delta is from 0 to 1. The higher the true value, the closer the Delta is to 1, and the Delta of the option is 0.5. On the other hand, the Delta of put options is between 0 and-1. Detla is additive. As long as the overall Delta of the portfolio remains at 0, a neutral hedging strategy is constructed, so Delta is also called hedging ratio or hedging ratio.
γ: 1 unit of basic assets change, incremental change. Gamma value is always positive. It measures the error of Delta neutral strategy. When the price of the underlying asset changes by one unit, the new Delta value is equal to the original Delta value plus or minus the Gamma value. Therefore, the greater the Gamma value, the faster the Delta value changes. In Delta neutral hedging, the greater the absolute value of Gamma, the higher the frequency of neutral hedging adjustment and the higher the risk.
Vega: volatility change 1%, option price change. When buying the CSI 300ETF call option with the exercise price of 4.000 yuan, the option price is 0. 1362 yuan, the implied volatility is 14.74%, and Vega is 0.0063. Other things being equal, if the implied volatility increases from 1% to 15.74%, the theoretical price of the option will increase by at least 0.
θ: How much does the option value lose every trading day? The closer to the maturity date, the greater the θ value, that is, the faster the time value is lost, and the higher the risk that the option buyer faces in reducing the royalty.
Rho: the influence of risk-free interest rate change on option price change. The risk-free interest rate directly affects the spot holding cost and financing cost, and then affects the target price. Rho has little influence on short-term trading and hypothetical options, but it has some influence on real options in long-term trading. The greater ρ, the higher the option price.
In short, when the target price is expected to fluctuate, the change of target price ×Delta can roughly estimate the change degree of option price. In the case of expected volatility change, volatility change ×Vega can roughly estimate the degree of option price change.