Option Greeks: Additive and Changing Sensitivities

The greeks for portfolios of options are summed to give the overall exposure of the portfolio, so only the overall portfolio risk has to be hedged. There are a few issues that option traders should be careful of however, such as options with different maturities and bucketing the vega exposures. We demonstrate vega bucketing with an example, and look at the issue of bleeds. To conclude, we discuss the importance of paying attention to the changes in portfolio gamma as the price of the underlying asset changes.