Posted: December 15th, 2016

How did time decay affect your portfolio values? Would you have been better off with a longer or shorter time to expiration?

Please fill in answers to the following questions as your write up for the options project.

1. What were your original investment strategies?

(1a) Which options positions did you invest in and which stocks were involved?

(1b) Why did you choose these stocks?

(1c) Why did you choose the particular options positions?

1. What were the results in terms of profits and losses?

(2a) Why were your strategies either successful or not?

(2b) What would you have done differently?

1. To help answer these questions, use the results from calculating the values for the ‘Greeks’. In particular,

• (3a) How did your delta and gamma change over time, and what impact did this have on your portfolio?

• (3b) How did time decay affect your portfolio values? Would you have been better off with a longer or shorter time to expiration?

• (3c) How much impact did changes in volatility have on your profitability? If you are long a call or put option and volatility increases, then the value of your option’s position increases and the probability of closing in the money increases.