In addition to the above-mentioned Delta is a typical factor reflecting the option contract price, option traders often use other Greek values to observe the influence of various factors on the option contract price. For example, Gamma is used to indicate the sensitivity of Delta value to the change of target price, and Vega indicates the sensitivity of option price to the fluctuation of target price.
Generally speaking, there are few Vega contracts in recent months, and the prices are mainly affected by Delta and Gamma. Short-term sharp price changes have a greater impact on the contracts in recent months. Vega, a far-month contract, is relatively large, and its price is relatively affected by the fluctuation rate, but it has little response to the short-term price change.
Extended data arbitrage SSE 50ETF
When there is a big deviation between the market price of SSE 50ETF and the net value of fund shares, investors can use the subscription and redemption mechanism for arbitrage trading. For example, when the market price of SSE 50ETF is higher than the net value of fund shares, the arbitrage operation method is: "buy SSE 50ETF fund shares-sell fund shares in the secondary market-buy fund stock baskets".
Arbitrage income is approximately equal to "(the secondary market price of the fund-the net value of the fund unit) × the number of fund shares-the transaction cost of buying fund shares and selling stock baskets".
The influence of ETF launch on the profit model of stock market
In the past, the profit model of China stock market was the same as that of emerging market countries all over the world. The main reason is that institutions operate villages and retail investors follow. After strengthening supervision, retail investors naturally lost their profit model. At this time, we put forward the concept of investing in blue chips, but I also want to say that investing in blue chips does not mean that there is no speculation.
Baidu encyclopedia -50ETF