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