Add training workflow, datasets, and runbook
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Chapter 40: Advanced Concepts
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FIGURE 40-16.
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Trading long gamma, position vega.
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55 60
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0
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-2
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-4
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al
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0)
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~
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-6
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-8
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-10
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Stock Price
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TABLE 40-11.
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65
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Risk measures of long gamma position in 14 days.
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Stock
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Price P&L Delta Gamma
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52.31 24945 - 79.34 4.75
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54.14 11445 - 67.68 8.00
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56.02 277 -49.79 10.79
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57.98 - 7263 -26.87 12.42
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60.00 - 10141 - 1.44 12.47
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62.09 - 7784 23.32 10.99
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64.26 347 44.47 8.45
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66.50 11491 60.12 5.55
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68.82 26672 69.81 2.92
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891
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Theta Vega
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2.10 - 9.91
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3.91 - 7.87
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5.76 - 5.56
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7.21 - 3.73
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7.88 - 3.04
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7.60 - 3.78
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6.47 - 5.71
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4.82 - 8.20
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3.09 -10.48
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So, is this a good position? That is a difficult question to answer unless one
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knows what is going to happen to the underlying stock. Statistically, this type of posi
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tion has a negative expected return and would generally produce losses over the long
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run. However, in situations in which the near-term options are destined to get over
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heated - perhaps because of a takeover rumor or just a leak of material information
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