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Visualizing Gamma Risk

Research Specials LIVE

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 represents the rate of change of delta, but what does that mean? In this piece, Anton and Michael G. break down gamma in terms of trade P&L. As short strangles are held into expiration, they experience a greater variability in performance. When these short strangles are properly managed, they see a 40% reduction in risk with a greater average daily P&L.

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