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Description |
This formula calculates an options elasticity. Elasticity (sometimes referred to as omega or lamda) is the relative percent change in an option's value for a given percent change in the price of the underlying instrument.
To calculate elasticity, divide the price of the underlying by the price of the option. Then multiply the quotient by the option's delta. |
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Formula |
Leverage(instrument)=begin retval = Divide(instrument.uprice, instrument.oprice) * instrument.delta end |
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Parameters |
instrument The instrument argument specifies which instrument to evaluate. |
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Return Value |
An option elasticity value. |
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Examples |
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Comments |
NA |
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