# Questions tagged [gamma]

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### Proof of gamma profit formula

http://www.volcube.com/resources/options-articles/gamma-hedging-trading-strategies-part-i/ I would like to have proven to me the above formula, mostly because I don't quite understand it. The formula ...
3k views

### What really is Gamma scalping?

How does Gamma scalping really work? It seems there is no true profit scalped. If we look at the simplest scenario, Black-Scholes option price $V(t,S)$ at time $t$ and the underlying stock price at $S$...
18k views

### What does it mean to be long gamma?

When you are "long gamma", your position will become "longer" as the price of the underlying asset increases and "shorter" as the underlying price decreases. source: http://www....
6k views

### What is the intuitive reason why the Gamma and the Theta tend to have the opposite sign?

Quoting Hull's book: When gamma is positive, theta tends to be negative. The portfolio declines in value if there is no change in S, but increases in value if there is a large positive or ...
6k views

### Link between Vega and Gamma

"The vega is the integral of the gamma profits ( ie expected gamma rebalancing P/L) over the duration of the option at one volatility minus the same integral at a different volatility...Mathematically,...
391 views

### Expectation of Gamma times S$^2$ in Black-Scholes model

Can somebody prove that: $$E[S_t^2 \times \Gamma(t,S_t)] = S_0^2 \times \Gamma(0,S_0)$$ where $S_t$ follows a lognormal process as in the Black-Scholes model, and Gamma is the second derivative \$\...
3k views

### American Options relation between greeks

Considering an American option in a Black-Scholes model, is there a relation between Vega and Gamma as it holds in the European case? I am aware an exact relation would be difficult to find. But in ...
771 views

### Gamma/delta dynamics in the Black Scholes model and it's relation to PnL (Basic of option theory)

If we are in a Black Scholes setup and a I have a Call option and hedged it by shorting delta amount of its underlying. What does the second derivative of the call with respect to Price of the ...
2k views

### What is the formula for beta weighted delta and gamma?

I am trying to calculate the beta weighted delta and gamma for a portfolio of options of different underlying stocks, but I can't seem to find the correct formula. Can someone point me to it or a ...
1k views

### Vega and Gamma signs

Do vega and gamma always have the same sign (ie both positive or both negative)? Under what circumstances can they have opposite signs?
713 views

### Interpretation of an option gamma larger than one

I am working on an option hedging simulation. In this context, I wanted to expand the simulation to include gamma. For testing purposes, I used among others the natural gas futures. When I calculate ...