I have a question regarding the description in Simon Gleadall's book -- option gamma trading which you can find a copy HERE. The following paragraph he discussed about gamma and delta profile of a long 95/short 90 put spread in a falling market.
I think he's correct about the net gamma of the PS changing from positive to negative, however I think his interpretation of net delta is incorrect. In a falling market, say spot falling from 100 to 0, both the 95put and 90put eventually become ITM options, but 95put would always be more ITM than 90put. We know that the more ITM an option is, the more its delta (absolute value) gets closer to 1. Long 95put would produce a negative delta, and the absolute value of its delta is always greater than that of the short 90put. Therefore, the net delta profile of the long 95put/short 90put is always negative. The net delta would get closer and closer to 0, but it could never become long delta overall.
I need to get this question resolve before I continue reading the book, because the author spend a few more paragraphs talk about hedging such portfolio. If the direction of net delta is not even correct, then the corresponding hedging direction would not make sense either.