As volatility falls,the gamma of deep in-the-money and out-of-th

来源: marketreflections 于 2010-07-24 18:06:51 [档案] [博客] [旧帖] [给我悄悄话] 阅读数 : (329 bytes)

回答: Gamma is important because it shows us how fast our position del 由 marketreflections 于 2010-07-24 17:59:50

Gamma Option and Volatility
As volatility falls, the gamma of at-the-money options increases, the gamma of deep in-the-money and out-of-the-money options decreases.

out of money call prices appreciates the fatest when bullish news first hit, the its gamma get used to it, like bidu before and after goog quits china

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• spot movement is increasingly driven by what goes on in the opti -marketreflections- ♂ (5862 bytes) () 07/24/2010 postreply 18:15:19

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