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training_data/curated/text/d87814809227b1c1638a824997b8c4bf2e3fb36ba1b778792a527d989f82d8ef.txt

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+The gamma of the 37.50 call is about 72 percent that of the 35 call. But
+the theta of the 37.50 call is about half that of the 35 call. Kim is improving
+her gamma/theta relationship by buying the OTM, but with the call being so
+far out-of-the-money and so inexpensive, the theta needs to be taken with a
+grain of salt. It is ultimately gamma that will make or break this delta play.
+The price of the option is 0.20—a rather low premium. In order for the
+call to gain in value, delta has to go to work with help from gamma. At this
+point, the delta is small, only 0.185. If Kim’s forecast is correct and there is
+a big move upward, gamma will cause the delta to increase, and therefore
+also the premium to increase exponentially. The call’s sensitivity to gamma,
+however, is dynamic.
+Exhibit 4.7 shows how the gamma of the 37.50 call changes as the stock
+price moves over time. At any point in time, gamma is highest when the call
+is ATM. However, so is theta. Kim wants to reap as much benefit from
+gamma as possible while minimizing her exposure to theta. Ideally, she
+wants Disney to rally through the strike price—through the high gamma
+and back to the low theta. After three weeks pass, with 23 days until
+expiration, if Disney is at $37 a share, the gamma almost doubles, to 0.237.
+When the call is ATM, the delta increases at its fastest rate. As Disney rises
+above the strike, the gamma figures in the table begin to decline.
+EXHIBIT 4.7 Disney 37.50 call price–time matrix–gamma.