"Exotic" Greeks

HyperVolatility · Post by **HyperVolatility** » Thu Nov 25, 2010 11:14 am

@FDAXHunter: I was referring to options traders.....i don't usually take into account gamblers' opinions

anyway, i will ask it to my colleagues and will see

marcos · Post by **marcos** » Thu Nov 25, 2010 11:26 am

Quote: " To be honest i dont know any professional traders who uses higher order greeks"

That's a bit of a dangerous quote dude. Sure, 97.5% (made up) of the time you use "non-exotic" greeks. However I made the experience that espacially for big flow books you save/rescue a helluva pnl if you keep an eye on higher order stuff (not only if the shit hits the fan).

Remember that guy who drowned while crossing a river which was no deeper than 1.5 m 97.5% of its width...

HyperVolatility · Post by **HyperVolatility** » Thu Nov 25, 2010 11:55 am

Quote: "However I made the experience that espacially for big flow books you save/rescue a helluva pnl if you keep an eye on higher order stuff"

well, I will definitely have run some tests

thanks

Smiling · Post by **Smiling** » Thu Nov 25, 2010 12:27 pm

please forgive my ignorance, but what is "scenarii"?

sv507 · Post by **sv507** » Thu Nov 25, 2010 2:27 pm

Scenarii (or sometimes called [eg spot] ladders ) As Baltazar said,

You just calculate some quantity (NPV, delta, Vega etc) at different levels of spot/ volatility etc. So its giving you similar info to higher order greeks. Ie allowing you to anticipate what will happen for large moves of the underlying.

FDAXHunter · Post by **FDAXHunter** » Thu Nov 25, 2010 2:57 pm

HyperVolatility: well, I will definitely have run some tests

Yes, run some "tests". Wait... what kind of tests?

HyperVolatility · Post by **HyperVolatility** » Thu Nov 25, 2010 3:09 pm

@FDAX: I meant I will start using them and I will see if they provide any improvement to my P&L.

I shouldn't have used the word "test". sorry

Graeme · Post by **Graeme** » Sun Nov 28, 2010 9:29 pm

Well, that sample of one should give you everything you need to know.

Scotty · Post by **Scotty** » Wed Dec 08, 2010 2:48 pm

Exotics greeks like [img]/User%20Files/85/Latex-Equation-10477.gif[/img]-risk?

willis · Post by **willis** » Sun Dec 12, 2010 11:42 pm

Names like Charm and Color are confusing to a retard like me.