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Futures & Options Quantitative Playbook

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Options Mechanics & Greeks

Futures & Options · Module 1

Intrinsic vs extrinsic value, Put-Call Parity, Black-Scholes-Merton implied volatility, and 1st/2nd order Option Greeks.

Sub-Topics in this Module

This module is organized into 2 specialized sub-topics inside Futures & Options Quantitative Playbook.

Pricing & Moneyness

ITM/ATM/OTM moneyness, Put-Call Parity synthetic equivalence, and Black-Scholes implied volatility. (2 topics).

First & Second Order Greeks

Delta, Gamma convexity acceleration, Theta time decay curves, Vega volatility sensitivity, Vanna, and Charm. (2 topics).

Topics

  • Pricing & Moneyness

    ITM/ATM/OTM moneyness, Put-Call Parity synthetic equivalence, and Black-Scholes implied volatility.

  • First & Second Order Greeks

    Delta, Gamma convexity acceleration, Theta time decay curves, Vega volatility sensitivity, Vanna, and Charm.

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