43 lines
1.0 KiB
Plaintext
43 lines
1.0 KiB
Plaintext
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 |