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So, I am reading Natenberg and it says that during expiration(close to expiration), the deep in the money options will have Gamma and Theta in the same direction. This was a bit counter intuitive to me as to why that would be?

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    $\begingroup$ When you are long a deep in the money European option, in a world of positive interest rates, the option has little sensitivity to S and is essentially a discount instrument. It increases (positive theta) as the expiration date approaches just like a Treasury Bill appreciates, due to the Time Value of Money. This is an unusual case. OTOH the Gamma of long option positiion is always positive. $\endgroup$
    – nbbo2
    Jul 6 at 12:59
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    $\begingroup$ See here, last picture $\endgroup$
    – AKdemy
    Jul 6 at 13:13

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