What are the calculations for calculating greek exposures in a portfolio of equities and equity options? I think I have them but I want to be sure. Are these correct (for vanilla options)?
deltaDollars = delta * quantity * 100 gammaDollars = gamma * quantity * 100 vegaDollars = vega * quantity * 100 thetaDollars = theta * quantity * 100 rhoDollars = rho * quantity * 100
I think that for calculating exposures for a whole portfolio, I can sum up these values for each position in the whole portfolio. Is this correct?
I am not sure about summing gammaDollars in this way because gamma is a second derivative. If my portfolio has only these positions:
23 MSFT options (gamma = 0.1, gammaDollars = $230)
29 AAPL options (gamma = 0.2, gammaDollars = $580)
Can I say that my portfolio's gammaDollars are \$810 (\$230 + \$580)? Or can I not add the numbers in this way?