{"id":1974291,"date":"2014-04-14T13:11:30","date_gmt":"2014-04-14T07:41:30","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1974291"},"modified":"2014-04-14T13:11:30","modified_gmt":"2014-04-14T07:41:30","slug":"forensics-nifty-options-gamma","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2014\/04\/14\/forensics-nifty-options-gamma\/","title":{"rendered":"Forensics: NIFTY Options \u2013 Gamma(&gamma;)"},"content":{"rendered":"<p>The option&#8217;s gamma(\u03b3) is a measure of the rate of change of its delta(\u03b4). \u03b4 is dynamic: it changes not only as the underlying stock moves, but as expiration approaches. \u03b3 is the Greek that determines the amount of that movement.<\/p>\n<ul>\n<li>\u03b3 is the amount a theoretical \u03b4 will change for a corresponding one-point change in the price of the underlying.<\/li>\n<li>\u03b3 will be a number anywhere from 0 to 1.00 and is positive when buying options and negative when selling them.<\/li>\n<li>Deep-in-the-money or far-out-of-the-money options have lower \u03b3 than at-the-money options.<\/li>\n<li>As implied volatility decreases, \u03b3 of at-the-money calls and puts increases.<\/li>\n<li>When implied volatility goes higher, the \u03b3 of both in-the-money and out-of-the-money calls and puts will be decreasing.<\/li>\n<li>As the time to expiration draws nearer, the \u03b3 of at-the-money options increases while the \u03b3 of in-the-money and out-of-the-money options decreases.<\/li>\n<\/ul>\n<h3>Gamma in Action: March 2014 NIFTY Options Since Jan<\/h3>\n<p>First, lets look at the underlying:<\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\" target=\"_blank\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973941\" alt=\"NIFTY\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\" width=\"745\" height=\"575\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png 745w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-300x231.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-388x300.png 388w\" sizes=\"auto, (max-width: 745px) 100vw, 745px\" \/><\/a><\/p>\n<p>To capture the full move of the NIFTY, you\u2019ll have to look at, at least, a dozen strikes between 5950 and 6900.<\/p>\n<p><strong>\u03b3:<\/strong><\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma.png\" target=\"_blank\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1974301\" alt=\"March 2014 NIFTY Gamma\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma.png\" width=\"1024\" height=\"768\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma-300x225.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma-400x300.png 400w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Gamma-900x675.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<p>Note that the \u03b3 value is the same for calls as for puts. Some intuitions:<\/p>\n<ol>\n<li>The \u03b4 tells us how many underlying contracts we are long\/short.<\/li>\n<li>The \u03b3 tells us how fast our &#8220;effective&#8221; underlying position will change.<\/li>\n<li>So \u03b3 shows how volatile an option is relative to movements in the underlying asset.<\/li>\n<li>\u03b3 will let you know how large your \u03b4 (position risk) changes.<\/li>\n<\/ol>\n<p><strong>Source: <\/strong><br \/>\n<a href=\"http:\/\/www.optiontradingtips.com\/greeks\/gamma.html\" target=\"_blank\">Option Gamma<\/a><br \/>\n<a href=\"http:\/\/www.optionseducation.org\/strategies_advanced_concepts\/advanced_concepts\/understanding_option_greeks\/gamma.html\" target=\"_blank\">Gamma<\/a><br \/>\n&nbsp;<\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul\">\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/14\/forensics-nifty-options-delta\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Delta(\u03b4)<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/13\/forensics-nifty-options-theta-decay\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Theta(\u03b8) Decay<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/2014\/04\/12\/forensics-nifty-options\/\">Forensics: NIFTY Options<\/a> (stockviz.biz)<\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=64f0f036-f0d1-4558-bba9-3055daa31a7d\" \/><\/div>\n","protected":false},"excerpt":{"rendered":"<p>The option&#8217;s gamma(\u03b3) is a measure of the rate of change of its delta(\u03b4). \u03b4 is dynamic: it changes not only as the underlying stock moves, but as expiration approaches. \u03b3 is the Greek that determines the amount of that movement. \u03b3 is the amount a theoretical \u03b4 will change for a corresponding one-point change &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[3361,1200],"class_list":["post-1974291","post","type-post","status-publish","format-standard","hentry","category-your-money","tag-forensics","tag-options","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974291","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1974291"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974291\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1974291"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1974291"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1974291"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}