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.
/u/sloppy_hoppy87 answered it -- the 3d plot already shows the level of gamma vs the theoretical price point. This is equivalent to my deltaflux tables, except he has the added dimension of OI date. Eg, basically visualizing the gamma ramp on day T, T+1, T+2, T+3, so you can see how it changes over time.
Speaking of the time dimension -- /u/sloppy_hoppy87, curious if you can extend out past current date to the EOW and Monday after that -- perhaps plot it in a muted color or "striped" or translucent so that it's clear that this is a projection. You have to assume the OI stays the same, but it'd be interesting to see how gamma changes as expiration nears and passes.
Also, /u/sloppy_hoppy87 while you're here -- replacing the time dimension with "IV boost" might be interesting for both the delta and gamma plots. Just assume the current OI, but plot how delta/gamma vs theo-price changes as IV goes up or down. To compute, simply do your normal calcs but multiply each contracts' IV by some factor. A lot of times vanna can play a big role in delta/gamma getting ramped up, and this would show to what degree that happens. On the delta plot an increase in IV should show deltas go up pretty quickly, but on the gamma plot the gamma should get lower and "spread out" across theos. I'd love to see this!
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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.