Exercise 17 · 14 min

Explain one day's P/L, Greek by Greek

Time: 20 to 30 minutes · You'll need: a calculator or spreadsheet · Builds on: Lessons 14 to 17

Warm-up

Check yourself

You are short a put. Interest rates rise one point. Which way does rho push your position, all else equal?

Check yourself

The Greeks on a screen come from a pricing model. Which of its inputs is solved backwards from the option's price?

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