Thanks for asking.
Delta and gamma indicate how an option’s value reacts to price movements.
It determines the sensitivity of an option’s value to the underlying asset’s movement in market price. The delta ranges from 0-1 and 0 to -1 for call and put options respectively.
Being close to 1, the delta is higher in ITM options as opposed to OTM options where it’s nearer 0. As such, the delta is positive in call options and negative in put options. It’s useful for gauging whether an option’s expiration will occur in the money.
It determines the sensitivity of delta changes to the underlying security’s price movements. Demonstrated as a percentage, its values start from 0-1. The gamma is positive when you’re long on call or put options and negative when you’re short on call or put options.
Therefore, values of short-term ATM options react the most to stock-price changes. Note that the delta and gamma may vary depending on variables such as duration to maturity, volatility, and interest rates.
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