BUSINESS CASE

GREEKS & GRECQUES

Within the Equity Derivatives department of the bank, you are a Salesperson in charge of the coverage of the asset
managers' clients. An asset manager calls you to discuss his portfolio positions. He wants to better understand how the
sensitivities in his portfolio work.

Q1. Hello! I would like to better understand the sensitivities of my portfolio with respect to certain parameters. It seems to
me that these sensitivities are called Greeks. Can you tell me what is called Delta and Vega please?

Q2. If I buy a Call ATM, what is approximately my Delta?

Q3. What are the Delta bounds of a Call?

Q4. Can you show me the Delta of a Call graphically?

Q5. If the residual maturity of the call is 1 week, will the Delta chart change?

Q6. Can you show me the Vega of a Call?

Q7. If I sell a call, am I still Delta-positive and Vega-positive?

London Fox S.A.S. – Tous droits réservés – Copyright ©