The gamma tag has no wiki summary.
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Gamma vs. Volatility Risk
Original Question: What is the link between Gamma and the Volatility Risk?
It leads me to ask:
- What is the Volatility Risk definition and what are the good practices to measure it?
Thinking about ...
1
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1answer
208 views
Portfolio Greek Exposure Equations
What are the calculations for calculating greek exposures in a portfolio of equities and equity options? I think I have them but I want to be sure. Are these correct (for vanilla options)?
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2answers
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What does it mean to be long gamma?
When you are "long gamma", your position will become "longer" as the
price of the underlying asset increases and "shorter" as the
underlying price decreases.
source: ...
4
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1answer
167 views
Standard Deviations out the money where options will respond to underlying asset price changes
Is there an understood way of determining how far out the money an option can be, before it starts/stops responding to the underlying asset price changes?
I usually look at the greeks, gamma, delta, ...
4
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1answer
273 views
Is there any gamma in basis (i.e., floating for floating) interest rates swaps?
It is well known that vanilla fixed for floating swaps usually have a bit of gamma, but does a floating for floating (basis) swap have any? For the sake of simplicity, let's assume that both legs of ...
