896 
FIGURE 40-15. 
Trading long gamma, profit picture. 
80,000 
60,000 
40,000 
20,000 
-20,000 
-40,000 
-60,000 
TABLE 40-1 O. 
Stock Price 
Part VI: Measuring and Trading Volatility 
Risk measures of long gamma position in 7 days. 
Stock 
Price P&L Delta Gamma Theta Vega 
54.46 12259 - 58.72 8.28 4.15 - 5.74 
55.79 5202 - 46.60 9.78 5.20 - 4.18 
57.16 - 224 - 32.45 10.80 6.09 - 2.85 
58.56 - 3670 - 16.91 11.25 6.73 - 1.94 
60.00 - 4975 - 0.80 11.08 7.04 - l .63 
61.47 - 3901 15.01 10.32 6.98 - 1.96 
62.98 - 507 29.69 9.09 6.57 - 2.89 
64.52 5105 42.56 7.54 5.87 -4.29 
66. l l 12717 53. l 7 5.86 4.97 - 5.96 
Notice that gamma remains positive throughout (Figure 40-17), although it falls to 
smaller levels if the stock moves toward the end of the pricing ranges used in the 
analyses. Again, this is standard action for a long straddle.