06
Oct
10

Finanzas 101: El “Encanto” de una Opcion

Condor Options tiene un breve e ilustrado post sobre el delta decay. Así mismo menciona libros como el de McMillan y el de Natenberg.

But even the Natenberg book (and, if I remember correctly, McMillan) don’t discuss the difference between the deltas of options with identical strike prices but different expirations. As expiration approaches, the delta of in-the-money options approaches one, while the delta of out-of-the-money options approaches zero. Known also as “charm,” delta decay is a second-order Greek that measures the rate of change of delta per day.


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