I am using finite difference on Kirk's Approximation for Spread Options to estimate greeks of the Spread Option. Now this is creating an problem in the estimation of gamma. For at the money options (with delta between 0.45 to 0.6) I am getting Gamma values in the range of 4-8 (implying a 400%-800% change in delta).
I know gamma can go to infinity but in practicality I am getting huge gamma exposures (gamma * quantity). And this to me and the traders look incorrect.
I am desperately seeking some suggestion.