How gamma changes as options move toward expiration?

2011, change

Can you explain how gamma changes as in-the-money, at-the-money, and out-of-the-money options move toward expiration?

It looks the curriculum is talking the delta change and no coverage for puts.

Edited 1 time(s). Last edit at Monday, April 4, 2011 at 03:11PM by deriv108.

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发表于 2011-7-11 19:24 | 只看该作者

as the option moves towards expiration the uncertainty increases whether the option closes in the money or out of the money so gamma is highest for at the money options .also ATM delta is 0.5 for calls or -0.5 for puts hence higher gamma

ATM option's curvature is convex

In the money and out of the money Gamma options have low gammas because their delta is constant

Delta - Calls range between 0 to 1 deep in the money call during expiration is close to 1
Delta - Puts range between - 1 to 0 deep in the money puts is close -1

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How gamma changes as options move toward expiration?

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