I have my Derivative Securities exam soon and I still find it so hard to visualise how the greeks change as the underlying moves through different spreads. The best way I can explain this is showing you the exam format question:
"Explain briefly, and using diagrams, why and how the Greek exposures change as the underlying price moves through the different strike prices for:
a) Short Butterfly Spread b) Short Strangle etc..."
I usually start by sketching out the spread, then doing another sketch of the independent parts of both call and put versions of the short butterfly spread. I know that it's delta neutral, long gamma, long vega and short theta - but I'm having a trouble understanding how to visualise how these changes? I know how the greeks change in regard to time to expiry, but I assume this is different to what the question is asking?
I've been reading Natenberg for the past fortnight trying to make sense of it, but I still find it hard to understand. Can anyone suggest some simple reading, that can aid in these sorts of questions?
Thanks
Submitted May 06, 2017 at 04:50AM by Kelzo69 http://ift.tt/2p6HX0w
