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2
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Testing for the presence of a positive or negative gamma effect

I am currently analyzing a statistic that I believe will have the effect of hedgers having a positive or negative gamma position in certain stocks. In the case where I believe hedgers have positive ...
1
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0answers
20 views

In this scenario could gamma be higher for OTM options?

Let's say there is a $1 stock, with say 1 day to expiration. The 1.5 strike call, is probably a 0 delta at this point; however, a 1 point increase would mean the stock would be at trading at 2 ...