Add training workflow, datasets, and runbook
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898 Part VI: Measuring and Trading Volatility
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TABLE 40-12.
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Risk measures of long gamma position at March expiration.
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Stock
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Price P&L Delta
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46.19 81327 - 75.69
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49.31 55628 - 89.84
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52.64 22378 -110.50
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56.20 - 21523 -136.65
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60.00 78907 144.68
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64.06 - 25946 117.44
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68.39 19787 95.03
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73.01 59732 79.05
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77.95 96062 69.19
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FIGURE 40-17.
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Trading long gamma, position gamma.
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(J)
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(I)
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1200
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1000
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800
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~ 600 .c
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(/)
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400
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200
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55 60
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Stock Price
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Gamma Theta Vega
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- 3.65 -1.32 - 6.88
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- 5.39 -2.25 -11.43
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- 6.89 -3.33 -16.50
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- 7.62 -4.28 -20.67
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- 7.29 -4.79 -22.49
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- 6.03 -4.70 -21.26
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- 4.31 -4.10 -17.44
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- 2.67 -3.24 -12.43
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- 1.43 -2.41 - 7.69
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65
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about a company - many sophisticated traders establish this type of position to take
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advantage of the expected explosion in stock price.
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Other Variations. Without going into as much detail, it is possible to com
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pare the above position with similar ones. The purpose in doing so is to illustrate
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how a change in the strategist's initial requirements would alter the established
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