Some of the option terminology you will see as part of our analysis is explained below.
Buy-write: Buying stock and selling a call 1 for 1.
Delta: of an option shows the sensitivity of the price of an option to a small change in the price of the underlying.
Married put: Buying stock and buying a put 1 for 1.
Net delta shares: If an option structure has a net delta shares of +50,000, it means that the structure's value will go up by $50,000 for a $1 move in the stock, assuming all else is constant. Postive net delta shares associated with a package is bullish for the stock while a negative number is bearish.
Net vega: If an option structure has a net vega of ($100,000), it means that the structure's value will go up by $100,000 if implied volatility goes down 1 point. If the net vega traded in a stock so far is positive, it means that the options betting is for the stock to become more volatile going forward.
Reversal conversion: Buying a call and selling a put of the same strike and maturity while simultaneously selling stock, all done 1 for 1 (or doing the opposite).
Standardized Vega: Implied volatility does not move by the same amount for all maturities. The implied volatility of front month options typically moves more than that of back month options. Hence, to be able to compare dollar vega among different terms, the vega of each term is standardized to a 12 month term.
Vega: of an option shows the sensitivity of the price of the option to a small change in implied volatility.