Chapter 40: Advanced Concepts 
FIGURE 40-16. 
Trading long gamma, position vega. 
55 60 
0 
-2 
-4 
al 
0) 
~ 
-6 
-8 
-10 
Stock Price 
TABLE 40-11. 
65 
Risk measures of long gamma position in 14 days. 
Stock 
Price P&L Delta Gamma 
52.31 24945 - 79.34 4.75 
54.14 11445 - 67.68 8.00 
56.02 277 -49.79 10.79 
57.98 - 7263 -26.87 12.42 
60.00 - 10141 - 1.44 12.47 
62.09 - 7784 23.32 10.99 
64.26 347 44.47 8.45 
66.50 11491 60.12 5.55 
68.82 26672 69.81 2.92 
891 
Theta Vega 
2.10 - 9.91 
3.91 - 7.87 
5.76 - 5.56 
7.21 - 3.73 
7.88 - 3.04 
7.60 - 3.78 
6.47 - 5.71 
4.82 - 8.20 
3.09 -10.48 
So, is this a good position? That is a difficult question to answer unless one 
knows what is going to happen to the underlying stock. Statistically, this type of posi­
tion has a negative expected return and would generally produce losses over the long 
run. However, in situations in which the near-term options are destined to get over­
heated - perhaps because of a takeover rumor or just a leak of material information