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training_data/curated/text/edd3478171228547f44262a209feb086498bed10962b403db01259c87bb2ec09.txt

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+856 Part VI: Measuring and Trading VolatHity 
+FIGURE 40-4. 
+Gamma comparison, with XYZ = 50. 
+8 
+7 
+0 6 0 ..-
+X 5 
+Cl! 
+E 4 E 
+Cl! 3 (!) 
+2 t= 1 year 
+t= 6 months 
+t= 3 months 0 '-'----~---__._ ___ _._ ___ _._ ___ ....___ 
+40 45 50 55 60 65 
+Strike Price 
+TABLE 40-4. 
+Gamma comparison - various amounts of time remaining 
+(with XYZ = 50). 
+Time Remaining Strike Price 
+40 45 50 55 60 
+1 year .015 .029 .039 .04 .033 
+6 months .011 .037 .058 .051 .030 
+3 months .003 .039 .086 .057 .015 
+2 months .108 
+1 month .166 
+1 week .288 
+65 
+.023 
+.013 
+.002 
+Note that the at-the-money options (January 50's and February 50's) on ABC, 
+the less volatile stock, have larger gammas than do their XYZ counterparts. However, 
+look one strike higher (January 55's), and notice that the more volatile options have a 
+slightly higher gamma. Look two strikes higher and the more volatile options have a 
+vastly higher gamma, both for the January 60's and the February 60's. 
+This concept makes sense if one thinks about the relationship between volatili­
+ty and delta. On nonvolatile stocks, one finds that the delta of even a slightly in­
+the-money option increases rapidly. This is because, since the stock is not volatile, 
+buyers are not willing to pay much time premium for the option. As a result, the 
+gamma is high as well, because as the stock moves into-the-money, the increase in