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Book : Natenberg: Option Volatility and Pricing

Chapter : Risk Measurement I Topic : Interpreting the Risk Measures, page 115

Link: link

As the market falls, the delta becomes a larger positive number. For the same reason we do not want the stock price to rise (we are creating a larger negative delta in a rising market), we also do not want the stock price to fall (we are creating a larger positive delta in a falling market). If we do not want the market to rise and we do not want the market to fall, there is only one favorable outcome remaining: we must want the market to sit still. In fact, a negative gamma position is a good indication that a trader either wants the underlying market to sit still or move only very slowly. A positive gamma position indicates a desire for very large and swift moves in the underlying market.

Question : What is meaning of, we are creating a larger negative delta in a rising market

we are creating a larger positive delta in a falling market

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It is important to understand the concept of Delta and Gamma. Delta is the change in the value of an option given the change in the underlying price, $\frac{dC}{dS}$. And Gamma is the change of Delta with respect to change in the underlying price, $\frac{d^2C}{dS^2}$. Intuitively, for a position with positive Delta and Gamma, if the underlying price increases, Delta increases relative to Gamma. Thus, "creating" a larger positive Delta in a rising market. Same goes for a falling market.

That is the basic intuition. From here, you can apply the idea to any type of option position.

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