I was wondering if I have to take the strike prices of options into consideration when doing a gamma and delta hedging. As an example, let's suppose that I have 2 positions:

  1. a long position call option with strike 55\$, delta $\Delta_1=0,5$ and Gamma $\Gamma_1=0,03$

  2. a short position put option with strike 56\$, delta $\Delta_2=-0,7$ and Gamma $\Gamma_2=0,01$.

The difference in strike prices shouldn't play a role when doing gamma and delta hedging right?

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  • $\begingroup$ That's right. The calculation of $\Delta$ and $\Gamma$ already took the option's strike (and maturity, etc. etc.) into account. $\endgroup$ – noob2 Jul 21 at 15:49
  • $\begingroup$ Thanks a lot. I wasn't 100% sure but that cleared my doubts! $\endgroup$ – Alex Jul 21 at 17:58

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