Delta/gamma options chart

Discussion in 'Options' started by wxytrader, Dec 23, 2023.

  1. wxytrader

    wxytrader

    So is this basically how the delta will change with a put option as it drops every dollar with a starting delta of .41 and a gamma of .03? I just guestimated the gamma along the way...it seems to gradually drop from .03 to .01.

    So if you held stock at the strike price with .41 delta, then the position should be delta neutral by the time the put reaches 1 delta.

    dg.jpg
     
    Last edited: Dec 23, 2023
  2. Matt_ORATS

    Matt_ORATS Sponsor

  3. wxytrader

    wxytrader

    Matt_ORATS likes this.