44 lines
1022 B
Plaintext
44 lines
1022 B
Plaintext
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 |