At The Money

put option

call option

8100

BUY 1000 CALL

OF 8100
D= 0.5
G= 0.1
V= 7

PORFOLIO

= -1

D= 0
G= 0.2

BUY 1000 PUT

OF 8100

V= 14

D= -0.5

= 2

G= 0.1
V= 7
= -1

8200

BUY 1000 CALL

OF 8100
D= 0.6
G= 0.07
V= 6

PORFOLIO

= -1

D= 0.2
G= 0.14

BUY 1000 PUT

OF 8100

V= 12

D= -0.4

= -2

G= 0.07
V= 6
= -1

8100

SELL 1000
CALL OF 8100
D= -0.5
G= -0.1
V= -7

PORFOLIO

= +1

D= 0
G= -0.2

SELL 1000 PUT

OF 8100

V= -14

D= 0.5

= +2

G= -0.1
V= -7
= +1

8200

SELL 1000
CALL OF 8100
D= -0.6
G= 0.07
V= -6

PORFOLIO

= +1

D= -0.2
G= 0.14

SELL 1000 PUT

OF 8100

V= -12

D= +0.4

= +2

G= 0.07
V=- 6
= +1

Gamma

value

volatility

time decay