Calendar Gamma
Quantitative Finance
Level
3
The stock trades at 40. You are long the ATM straddle expiring in 1 month and short the ATM straddle expiring in 3 months. What is your gamma position?
Long Gamma. The shorter term ATM option has more gamma.
Short Gamma. The shorter term ATM option has less gamma.
Gamma neutral. ATM options have the same gamma across time.
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