SFoyil

thks for your reply and I get it now, because the value of option would increase about 50% of (€27-€25) in the unhedged position.

ohai Wrote:
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> Well, your call option has positive gamma, which
> means that if the underlier price increases, the
> delta of the option increases. You are long the
> option and short the stock. So, as the underlier
> price increases and you do not hedge, your long
> position increases (delta of option increases
> while qty is the same) and your short position in
> constant (delta of stock is constand and qty is
> constant). So, if the market moves one way and you
> do not hedge, you make money from the positive
> gamma. Does this answer your question?