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Q5. Gamma vs. theta You short an ATM straddle, ie 1x ATM CALL + 1x ATM PUT. Q5a. What is the gamma and delta value

Q5. Gamma vs. theta

You short an ATM straddle, ie 1x ATM CALL + 1x ATM PUT.

Q5a. What is the gamma and delta value of the position?

Q5b. How much theta are you paying or collecting each day?

Q5c. Underlying moved down by $5 in a single day. How much should the price move based on

i. delta; ii gamma; iii. theta

(for additional practice do $1 downward and upward movement; $5 upward movement)

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