Option Greeks: Gamma Measurement and Hedging
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Option Greeks: Gamma Measurement and Hedging

Updated Jun 25, 2024

What you'll learn

  • We discuss some issues with the measurement of gamma; that it is more useful to traders when shown in positional equivalents, as opposed to instantaneous percentage change terms. We describe the effects of a number of factors on gamma, like the option mon
Course Description

We discuss some issues with the measurement of gamma; that it is more useful to traders when shown in positional equivalents, as opposed to instantaneous percentage change terms. We describe the effects of a number of factors on gamma, like the option moneyness, time to expiry, and volatility, and finally look at gamma hedging and portfolio rebalancing.