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Gamma Over Time

Best Practices

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Gamma is the change in delta when the stock price moves $1. This means in delta neutral positions, a small gamma is desirable in order to keep delta from becoming too positive or negative.

An ATM straddle will have around twice the gamma as a 16 delta strangle when the position is 45 days out. However, 5 DTE, the straddle will boast around 26 times the gamma as the 1SD strangle. This makes the case to manage positions early especially if one of your strikes is near or at the money.

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