Comment on Greek Interactions

madhu nair commented on 23 Sep 2015, 05:12 AM

the gamma of ATM option shoots up near expiry. the gamma is also the highest for an ATM option otherwise too. the delta of an ATM is influential when the volatility is low and even more sensitive when it’s high. in fact, when it’s high the delta of strikes around the ATM is influenced too. i guess, it means buy an ATM option closer to expiry and watch it shoot up ( i.e if your directional call is right). does all this mean trading in ATM is a safer bet? thanks.

View the full comment thread »