Hi,
I have been struggling to understand the concepts around Greeks. Can some one please help me on the below with some examples if possible or further links which could help me understand the concepts better?
- Gamma - when is gamma +ve and when is it -ve?
- Relation between Gamma, Delta and Theta (read it somewhere)
** For a delta neutral portfolio, when theta is large and negative, gamma will tend to be large and positive. The converse of this holds too. Thus, if delta is zero and theta is large and positive, gamma is likely to be large in magnitude and negative in sign.
Thanks in advance
I have been struggling to understand the concepts around Greeks. Can some one please help me on the below with some examples if possible or further links which could help me understand the concepts better?
- Gamma - when is gamma +ve and when is it -ve?
- Relation between Gamma, Delta and Theta (read it somewhere)
** For a delta neutral portfolio, when theta is large and negative, gamma will tend to be large and positive. The converse of this holds too. Thus, if delta is zero and theta is large and positive, gamma is likely to be large in magnitude and negative in sign.
Thanks in advance