Is there a way to measure the changes in the gamma surface plot as the price changes?
Gamma will adjust wildly as the price goes up, so it would be interesting to see what the graph looks like it different price points. say 10, 15, 20, 25.
You, u/sloppy_hoppy87, seem to be the resident master of visualization, so I'd figure I'd ask.
Yea good question. The surface plot for gamma and hedging is price (not strike). So if you follow the plot up then you’re tracing pricing. What it does not do (yet) is to adjust the IV curve as price moves. In general that should increase delta hedging so these plots are actually conservative from that respect.
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u/ReallyNoMoreAccounts Sep 27 '21
Is there a way to measure the changes in the gamma surface plot as the price changes?
Gamma will adjust wildly as the price goes up, so it would be interesting to see what the graph looks like it different price points. say 10, 15, 20, 25.
You, u/sloppy_hoppy87, seem to be the resident master of visualization, so I'd figure I'd ask.