Derivatives, Futures & Options
65 terms · page 3 of 3
Put Option
An option giving its buyer the right to sell the underlying at the strike price on or before expiry.
Derivatives, Futures & OptionsPut-Call Parity
The relationship fixing the price of a European call and put with the same strike and expiry relative to the underlying.
Derivatives, Futures & OptionsRho
The change in an option's price for a one-percentage-point change in the risk-free interest rate.
Derivatives, Futures & OptionsRollover
Closing a derivative position in the expiring contract and opening the equivalent position in the next expiry.
Derivatives, Futures & OptionsShort Call
A position created by writing a call option, receiving the premium and taking on an obligation to deliver if exercised.
Derivatives, Futures & OptionsShort Put
A position created by writing a put option, receiving the premium and taking on an obligation to buy if exercised.
Derivatives, Futures & OptionsSPAN Margin
The portion of initial margin computed by simulating a portfolio's worst-case loss across a grid of price and volatility scenarios.
Derivatives, Futures & OptionsStock Futures
A futures contract whose underlying is a single listed company's shares.
Derivatives, Futures & OptionsStraddle
Buying or writing both a call and a put at the same strike and expiry.
Derivatives, Futures & OptionsStrangle
Buying or writing a call and a put at different out-of-the-money strikes with the same expiry.
Derivatives, Futures & OptionsStrike Price
The fixed price at which an option's holder may buy or sell the underlying if the option is exercised.
Derivatives, Futures & OptionsSynthetic Position
A combination of options and the underlying that reproduces the payoff of a different single instrument.
Derivatives, Futures & OptionsTheta
The rate at which an option loses value as time passes, holding everything else constant.
Derivatives, Futures & OptionsTime Value
The portion of an option's premium above its intrinsic value, paid for the possibility of a favourable move before expiry.
Derivatives, Futures & OptionsUnderlying Asset
The security, index, commodity or rate whose price determines a derivative's value.
Derivatives, Futures & OptionsVega
The change in an option's price for a one-percentage-point change in implied volatility.
Derivatives, Futures & OptionsWeekly Expiry
A derivative contract that expires each week rather than monthly, concentrating an option's whole life into a few days.