What are the "Greeks”?
- Delta: Shows the equivalent FX Spot exposure of a given position. This is the sensitivity of a position’s value with respect to the spot rate.
- Gamma: This is the second derivative of the position value with respect to spot, i.e. it shows how much the delta changes when spot changes (i.e. how much will the delta change when spot moves up by one percentage point.
- Vega: Sensitivity of a position with respect to the implied volatility used to price FX Options. This shows how much money is made (positive number) or lost (negative number) when volatility goes up by one percentage point.
- Theta: Also known as time decay. This shows by how much the position will increase or decrease in value from one day to the next.
Before a trade you can view the greeks of an FX Option in the tradeticket. Right click in the trade ticket --> settings --> Show Greeks as factor to change between displaying Greeks as "Amounts" and "Factors"
When you have a position in an FX Option, in the Position Details (1) you can see the updated Greeks (as amounts) (2) and also the updated Exposure of the position (3) which is based on the delta of the option.
Also, when you have a position in an FX Option, the live updated Exposure amount (1) is the updated Delta exposure of the FX Option:
For a view on the Greeks of your FX Option portfolio, you need to access the FX Option reports, available under the Account-tab (1). Here you can either select "Spot ladder" (2) or "Spot/Vol Grid" (3), and then view the updated greeks under various scenarios (4, 5, 6, 7):