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Kenduri co june 2013

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November 6, 2019 at 10:15 am #551670
rimshy
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Part c please explain why gamma values are higher when the option is closer to expiry
November 6, 2019 at 12:58 pm #551690
John Moffat
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The nearer the option is to expiry, the more the option price will change as the share price changes (because the effect is very close).
Therefore delta will be changing faster, which is what gamma is measuring.
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