Greeks - Portfolio

CFA Level III
#1

Hi,

Have I understood correctly how to calculate the portfolio impact when I buy/sell an option? Please correct me if I’m wrong

Option values.

Delta: Call - Always Positive and Put - Always Negative.

Gamma: Call and Put - Always Positive

Theta: Call and Put - Always Positive

Vega: Call and Put - Always Positive.

Is it correct that whenever I buy a call or a put I would add it to the portfolios current Delta/Gamma/Theta/Vega? And whenever I sell/write I would deduct it?

#2

Theta is a negative fn. of time. And hence negative.

Additina and Subtraction of the Greeks on buy and sale respectively not in a simple manner

Delta for call n put work the other wayvto each other… Gamma is a 2nd order derivative and is not a simple addition unless gamma adjustment and Delta adjustment done.