The Greeks as a Function of Time
Greeks and VolatilityUnderstand how Delta, Gamma, Theta and Vega each shift as expiration nears. OIC instructor Mat Cashman walks through the four Greeks and what changes when time is pulled out of an option.
0:00 Introduction: Sensitivity as Time Passes
0:22 Delta: ITM Becomes More ITM
1:08 Removing Price Iterations
1:42 Gamma Increases Near Expiration
2:26 Theta: One-Day Decay
3:06 Theta Increases Exponentially
4:10 Extrinsic Value Goes to Zero
4:19 Vega Proportional to Time
5:05 Zero DTE: Vega Less Impactful
Register to view the complete 0DTE Options – The Move to Shorter Duration Options and What It Means for Risk webinar: https://bit.ly/4wWNFAw
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