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