EFFECT OF DIFFERENT PARAMETERS ON GAMMA:
Gamma with respect to change
in SPOT PRICE:
|
SPOT
|
5600
|
5700
|
5800
|
5900
|
6000
|
6100
|
6200
|
6300
|
6400
|
|
STRIKE
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
Days to Expiry
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
|
Volatility
|
30 %
|
30 %
|
30 %
|
30 %
|
30 %
|
30 %
|
30 %
|
30 %
|
30 %
|
|
Call Premium
|
57.25
|
82.48
|
114.74
|
154.61
|
202.35
|
257.92
|
320.98
|
390.97
|
467.14
|
|
Put Premium
|
457.25
|
382.48
|
314.74
|
254.61
|
202.35
|
157.92
|
120.98
|
90.97
|
67.14
|
|
Call Delta
|
0.2196
|
0.2863
|
0.3599
|
0.4378
|
0.5169
|
0.594
|
0.6664
|
0.7321
|
0.7897
|
|
Put
Delta
|
-0.7804
|
-0.7137
|
-0.6401
|
-0.5622
|
-0.4831
|
-0.406
|
-0.3336
|
-0.2679
|
-0.2103
|
|
Gamma
|
0.0006
|
0.0007
|
0.0008
|
0.0008
|
0.0008
|
0.0008
|
0.0007
|
0.0006
|
0.0005
|
Observations:
As Spot Price increases
- Call premium increases and
Put premium decreases.
- Call delta increases and
Put delta decreases.
- Gamma is highest at ATM and
decreases as NIFTY moves away.
GAMMA with respect to change in STRIKE PRICE:
|
SPOT
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
STRIKE
|
5600
|
5700
|
5800
|
5900
|
6000
|
6100
|
6200
|
6300
|
6400
|
|
Days
to Expiry
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
|
Volatility
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
|
Call
Premium
|
457.25
|
382.48
|
314.74
|
254.61
|
202.35
|
157.92
|
120.98
|
90.97
|
67.14
|
|
Put
Premium
|
57.25
|
82.48
|
114.74
|
154.61
|
202.35
|
257.92
|
320.98
|
390.97
|
467.14
|
|
Call
Delta
|
0.8046
|
0.7418
|
0.6712
|
0.5952
|
0.5169
|
0.4391
|
0.3649
|
0.2964
|
0.2355
|
|
Put Delta
|
-0.1954
|
-0.2582
|
-0.3288
|
-0.4048
|
-0.4831
|
-0.5609
|
-0.6351
|
-0.7036
|
-0.7645
|
|
Gamma
|
0.0005
|
0.0006
|
0.0007
|
0.0008
|
0.0008
|
0.0008
|
0.0007
|
0.0007
|
0.0006
|
Observations:
As Strike price Increases
- Call premium Decreases and
Put Premium Increases.
- Call Delta Decreases and
Put Delta Increases.
- Gamma is highest at ATM and
decreases as NIFTY moves away.
GAMMA with respect to change in DAYS TO EXPIRY:
|
SPOT
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
STRIKE
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
Days
to Expiry
|
29
|
20
|
15
|
10
|
5
|
4
|
3
|
2
|
1
|
|
Volatility
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
|
Call
Premium
|
202.35
|
168.05
|
145.55
|
118.84
|
84.04
|
75.17
|
65.10
|
53.15
|
37.58
|
|
Put
Premium
|
202.35
|
168.05
|
145.55
|
118.84
|
84.04
|
75.17
|
65.10
|
53.15
|
37.58
|
|
Call
Delta
|
0.5169
|
0.5140
|
0.5121
|
0.5099
|
0.5070
|
0.5063
|
0.5054
|
0.5044
|
0.5031
|
|
Put Delta
|
-0.4831
|
-0.4860
|
-0.4879
|
-0.4901
|
-0.4930
|
-0.4937
|
-0.4946
|
-0.4956
|
-0.4969
|
|
Gamma
|
0.0008
|
0.0009
|
0.0011
|
0.0013
|
0.0019
|
0.0021
|
0.0024
|
0.0030
|
0.0042
|
Observations:
As days to expiry decreases
- Both Call and Put Premium
decrease.
- Call Delta decreases and
Put Delta increases (Both move towards 0.5).
- Gamma increases.
GAMMA with respect to change in VOLATILITY:
|
SPOT
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
STRIKE
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
Days
to Expiry
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
|
Volatility
|
100 %
|
80 %
|
60 %
|
50 %
|
40 %
|
30 %
|
20 %
|
10 %
|
1 %
|
|
Call
Premium
|
672.48
|
538.62
|
404.34
|
337.07
|
269.74
|
202.35
|
134.92
|
67.47
|
6.75
|
|
Put
Premium
|
672.48
|
538.62
|
404.34
|
337.07
|
269.74
|
202.35
|
134.92
|
67.47
|
6.75
|
|
Call
Delta
|
0.5560
|
0.5449
|
0.5337
|
0.5281
|
0.5225
|
0.5169
|
0.5112
|
0.5056
|
0.5006
|
|
Put Delta
|
-0.4440
|
-0.4551
|
-0.4663
|
-0.4719
|
-0.4775
|
-0.4831
|
-0.4888
|
-0.4944
|
-0.4994
|
|
Gamma
|
0.0002
|
0.0003
|
0.0004
|
0.0005
|
0.0006
|
0.0008
|
0.0012
|
0.0024
|
0.0236
|
Observations:
As Volatility decreases
- Both Call and Put Premium
decreases.
- Call Delta decreases and
Put Delta Increases.
- Gamma increases.
GAMMA with respect to change in RATE OF INTEREST:
|
SPOT
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
STRIKE
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
6000
|
|
Days
to Expiry
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
29
|
|
Volatility
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
30
%
|
|
Rate
of Interest
|
50 %
|
40 %
|
30 %
|
20 %
|
10 %
|
5 %
|
3%
|
2 %
|
1 %
|
|
Call
Premium
|
336.73
|
306.92
|
278.51
|
251.58
|
226.17
|
214.06
|
209.33
|
206.99
|
204.66
|
|
Put
Premium
|
103.05
|
119.23
|
137.19
|
156.99
|
178.69
|
190.27
|
195.04
|
197.46
|
199.89
|
|
Call
Delta
|
0.6957
|
0.6621
|
0.6271
|
0.591
|
0.5542
|
0.5356
|
0.5281
|
0.5243
|
0.5206
|
|
Put Delta
|
-0.3043
|
-0.3379
|
-0.3729
|
-0.409
|
-0.4458
|
-0.4644
|
-0.4719
|
-0.4757
|
-0.4794
|
|
Gamma
|
0.0007
|
0.0007
|
0.0007
|
0.0008
|
0.0008
|
0.0008
|
0.0008
|
0.0008
|
0.0008
|
Observations:
As Rate of Interest decreases
- Call Premium decreases and
Put Premium increases.
- Call Delta decreases and
Put Delta increases.
- Gamma increases.
GAMMA RELATIONSHIP:
Variables
|
Gamma
|
Spot
|
Highest at ATM and reduces as NIFTY moves away
|
Strike
|
Highest at ATM and reduces as NIFTY moves away
|
Volatility
|
Negative
|
Time
|
Positive
|
Rate of Interest
|
Negative
|
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