Discover and read the best of Twitter Threads about #Gamma

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A simplified thread about #Gamma : Delta is change in option price with change in stock/nf/BN, but Delta doesn't remain constant, so how much delta will be changed, is measured by Gamma. Confusing?
#Gamma measures risk of movement, for e.g #tcs is trading at 2000rs,

1/n
2/n, 2100CE has 0.4 #delta and #Gamma 0.001

TCS moving +100rs can change delta as below (100rs x 0.001)+0.4 = 0.5 new delta for 2100CE when TCS reached at 2100, which is ATM

(Price Change x Gamma) + old delta = New delta.

Gamma is +ve for Long CE/PE and -ve for Short CE/PE
3/n, ATM has highest Gamma, as ATM changes delta quickly either to bring option in the money or out of the money. The sensitivity is highest at ATM. With less time, it's more sensitive to price.

Attached graph taken from google.
Read 6 tweets
The God of #Options #Greeks is often disregarded and has no mercy, especially on #Options #expiration day.

A #Thread on #Gamma.

#OptionsGreeks
1/n
The primary feature of #Options is their non-linear payout.

Most traders understand that #OptionsPricing is dependent on the price of the underlying, but the response is non-linear. #Gamma is the variable that describes this non-linearity.

#OptionsGreeks
2/n
Loosely, if #Delta is the speed of the #Options position, #Gamma is the acceleration.

#OptionsGreeks
3/n
Read 15 tweets

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