GRK

The Greeks and hedging

What each sensitivity measures, how it moves with moneyness and time, and what a delta-hedged option is really a bet on.

1
The four that matter
Delta, gamma, vega and theta: signs, shapes, the P&L equation and the gamma–theta trade-off.
- 1.1Delta, gamma, vega and theta14 min
2
Second-order Greeks
Vanna, volga and charm — what each measures and when it bites.
- 2.1Second-order Greeks: gamma, vanna, volga and the shapes they take13 min
3
Delta hedging
Discrete hedging error, transaction costs, and realised against implied volatility.
- 3.1Delta hedging in practice: how often, and what it costs13 min
4
Portfolio risk management
Aggregating Greeks, neutral construction and scenario analysis.
- 4.1Running a book: aggregating Greeks and neutralising them12 min

The four that matter