Discover and read the best of Twitter Threads about #Gamma

Most recents (5)

#Straddles vs #Strangles ( Sell only )

These are the most common #Options strategies when one would start with #OptionsTrading.

Let’s understand from a broader perspective what’s the difference between these two.
Would not like to discuss the construction difference between them if you don’t know stop trading #options

#Straddles

You get higher premium so pnl would be higher compared to #strangles

But from where are you getting higher premiums is that your selling 0.5 #delta.
So probability of one going wrong is always 50% so to simply put one side is goin to get stuck in a #straddle but then market tends to #flucuate a lot so there is always the case of #meanreversion if you have selected the #strike rightly.
Read 14 tweets
#Option #Greeks Simplified

#Options are definitely more complicated than equity or futures.

Their prices don’t just go up and down.

They also fluctuate based on things like #time, #implied #volatility and #underlying stock movements.
#Options #Greeks Are Simply Mathematical Shortforms

Most of you would remember from school that mathematical formulas sometimes were #Greek letters like Pi and #Delta. The same is true for options.

Don’t let them overwhelm you or scare you.
They’re simply #mathematical words to explain some very basic principles.

#Greeks Describe the Behavior of #Individual #Options

Each #greek can help predict how it will behave under different circumstances and how options prices would change.
Read 22 tweets
Option Greeks : Myths and Realities

Option Greeks estimate how an option's price changes with ::
1.Underlying stock price : #Delta and #Gamma
2. Interest Rates : #Rho
3. Volatility : #Vega
4. Time : #Theta
#Myth : Greeks are what make up an option's price

#Reality : Greeks explain what can happen to an option's price
#Myth : The greeks are timeless, they never change

#Reality : Greeks are ever changing, what they show now will change in the future
Read 9 tweets
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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