Question
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
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International Finance Putting Theory Into Practice
Authors: Piet Sercu
1st edition
069113667X, 978-0691136677
