The Greek Letters. ILLUSTRATION. The financial institution has sold for $300,000 a European call option on 100,000 shares of a non-dividend-paying stock. S 0 = 49, K = 50, r = 5%, σ= 20%, T = 20 weeks (0.3846 years), μ=13% The Black-Scholes price of the option is about $240,000.
One strategy open to the financial institution is to do nothing.
Buying 100,000 shares as soon as the option has been sold.
Delta of Forward Contracts
Delta of Futures Contracts
Use of Index Futures
＋：Indicates that an increase in the variable causes the option price to increase
－：Indicates that an increase in the variable causes the option price to decrease
？：Indicates that the relationship is uncertain