Commodities, Derivatives and Structured Products

Options – Part 8


This eCourse consists of two modules on Delta and Gamma. Delta and gamma are key measures of option sensitivity that are crucial in option portfolio management and hedging. Module 1 provides an overview of the different approaches to measuring delta and gamma, including the Black-Scholes model, binomial option pricing model, and Monte Carlo simulation.

Module 2 looks at how delta and gamma are used to estimate option prices and to hedge option portfolios. The role of delta and gamma in straddle trades is also examined in detail.


On completion of this course, you will be able to:
- Recognize the importance of delta and gamma in option position management and hedging
- Calculate delta and gamma in Excel using the Black-Scholes formula, the binomial option pricing model, or Monte Carlo simulation
- Recognize how delta and gamma can be used to estimate the value of an option
- Identify the role of delta in hedging an option position
- Recognize how delta and gamma affect the profitability of straddle trades

Content Highlight

Module 1: Option Greeks - Measuring Delta & Gamma
Topic 1: Sensitivities & Option Positions
Topic 2: Calculating Delta & Gamma

Module 2: Option Greeks - Using Delta & Gamma
Topic 1: Approximating Option Values with Delta & Gamma
Topic 2: Delta Hedging
Topic 3: Delta & Gamma in Straddle Trades

Administrative Details

Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:1.50, PWMA:1.50
All Member: HKD480
Non-Member: HKD720
Staff of Corporate Member: HKD480