Quick Gamma Question
If a call as a 30 delta and the future moves 1.5 points and the new delta of the call is now 37, what is the gamma of the call? (Assume gamma remains constant over the move).
If a call as a 30 delta and the future moves 1.5 points and the new delta of the call is now 37, what is the gamma of the call? (Assume gamma remains constant over the move).
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Gamma is the change in delta w.r.t. a 1 point move in the underlying.
The delta changed by 7. The future moved 1.5 points. That means the gamma is 7/1.5=4.67.
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