TickCalc

Description

This formula converts option Greeks into a number that represents the number of ticks gained or lost in an option position.

Formula

TickCalc(instrument, Greek, Quantity)=begin

   greekVal = NONUM

   retval = NONUM

   if Quantity != NONUM then begin

      if Greek == GREEK_DELTA then begin

         greekVal = instrument.delta

         retval = Divide(greekVal, 100) * Quantity

      end

      if Greek == GREEK_GAMMA then begin

         greekVal = instrument.gamma

         retval = Divide(greekVal, 100) * Quantity

      end

      if Greek == GREEK_THETA then begin

         greekVal = instrument.theta

         retval = greekVal * Quantity

      end

      if Greek == GREEK_VEGA then begin

         greekVal = instrument.vega

         retval = greekVal * Quantity

      end

   end

   retval

end

Parameters

instrument

The instrument argument specifies which instrument to evaluate.

Greek

The Greek argument specifies the option Greek to convert.

Quantity

The Quantity argument specifies the number of options in a position. Positive values indicate long positions, and negative values indicate short positions.

Return Value

A number, positive or negative, of ticks.

Examples

Note the Gamma and Theta fields in the figure above.

Comments

NA