Fun fact on Gamma:
If you know how the mtm of a butterfly varies with change in spot,
you know how gamma varies with spot
The beautiful world of options!
#ForTheLoveofGreeks
If you know how the mtm of a butterfly varies with change in spot,
you know how gamma varies with spot
The beautiful world of options!
#ForTheLoveofGreeks
Corollary -
if you know the profile of delta of a Butterfly, you know the profile of
d(Gamma) /d(Spot) vs underlying
aka
Speed
How can you not be romantic about options!
#ForTheLoveofGreeks
if you know the profile of delta of a Butterfly, you know the profile of
d(Gamma) /d(Spot) vs underlying
aka
Speed
How can you not be romantic about options!
#ForTheLoveofGreeks
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