CPATrader

the show NY Wrote:
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> cpk,
>
> i dont agree. the call option value is most
> sensitive to price changes when it hovers aroudn
> the strike price (i.e. at the money). when it is
> far far in the money, a small change in stock
> value wont affect the call value much.
>
> so the right extreme of the graph (where the call
> option value changes the most per unit of stock
> price change) should be at the money no?

The curriculum states gamma is greatest at the strike price. For a call, delta approaches +1 as it gets deeper in the money. For a put, delta approaches -1 when it is deep in the money.

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