Kenduri co june 2013

This topic has 1 reply, 2 voices, and was last updated 6 years ago by John Moffat.

Viewing 2 posts - 1 through 2 (of 2 total)

Author
Posts
November 6, 2019 at 10:15 am #551670
rimshy
Member
- Topics: 95
- Replies: 91
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
Keymaster
- Topics: 57
- Replies: 54848
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.
Author
Posts

Viewing 2 posts - 1 through 2 (of 2 total)

You must be logged in to reply to this topic.