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+Chapter 40: Advanced Concepts 889 
+Continuing to look at the profit picture, the downside is favorable to the spread 
+since the short stock in the position would contribute to ever larger profits in the case 
+that XYZ tumbles dramatically (see Figure 40-12). The upside is where problems 
+could develop. In 7 days, the position breaks even at about 65 on the upside; in 14 
+days, it breaks even at about 67.50. 
+The reader may be asking, "Why is there such a dramatic risk to the upside? I 
+thought the position was delta neutral and gamma neutral." True, the position was 
+originally neutral with respect to both those variables. That neutrality explains the 
+flatness of the profit curves about the current stock price of 60. However, once the 
+stock has moved 1.50 standard deviations to the upside, the neutrality begins to dis­
+appear. To see this, let us look at Figures 40-13 and 40-14 that show both the posi­
+tion delta and position gamma 7 days and 14 days after the spread was established. 
+Again, these are the same numbers listed in the previous tables. 
+First, look at the position delta in 7 days (Figure 40-13). Note that the position 
+remains relatively delta neutral with XYZ between 57 and 63. This is because the 
+gamma was initially neutral. However, the position begins to get quite delta short if 
+XYZ rises above 63 or falls below 57 in 7 days. What is happening to gamma while 
+this is going on? Since we just observed that the delta eventually changes, that has to 
+mean that the position is acquiring some gamma. 
+FIGURE 40-12. 
+XYZ ratio spread, gamma and delta neutral. 
+4300 
+3400 
+2500 
+1600 
+~ 700 a.. 
+0 
+-200 53 55 57 59 61 63 
+.-1100 
+-2000 
+Stock Price