If the stock price moves up by $1 to $48, then the delta will be adjusted upwards Selling for $2 and let's assume it has a delta of 0.4 and a gamma of 0.1 or 10 percent. Suppose for a stock XYZ, currently trading at $47, there is a FEB 50 call option Near the strike price of the option and decreases as the option goes deeper into It generally is at its peak value when the stock price is Like the delta, the gamma is constantly changing, even with tiny movements of the The delta in response to a one point movement of the underlying stock price. The gamma of an option is expressed as a percentage and reflects the change in The option's gamma is a measure of the rate of change of itsÄelta.
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