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Why the gamma of a stock is 0?

Gamma = change in delta                 1/1=1?

                 change in underlying

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First, figure out the delta of the stock.

And the answer is … ?

Simplify the complicated side; don't complify the simplicated side.

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one

So … when the price of the stock changes, the delta goes from … what to what?

Simplify the complicated side; don't complify the simplicated side.

Financial Exam Help 123: The place to get help for the CFA® exams
http://financialexamhelp123.com/

Remains one right?

derswap07 wrote:

Remains one right?

You’ve hit the nail on the head. So a stock’s delta has no sensitivity to a change in its own price (ie it does not change). 

derswap07 wrote:
Remains one right?

So … what’s the change in delta when the price of the stock changes?

Simplify the complicated side; don't complify the simplicated side.

Financial Exam Help 123: The place to get help for the CFA® exams
http://financialexamhelp123.com/

0

Now … go back to your original equation for gamma and tell us what gamma is for the underlying stock.

Simplify the complicated side; don't complify the simplicated side.

Financial Exam Help 123: The place to get help for the CFA® exams
http://financialexamhelp123.com/

People who may be familiar with calculus may understand better. Gamma is the 2nd order derivative. If Delta has not changed, Gamma cannot change.

In other words, the Greeks are meant for derivatives…not the underlying.

back against the wall. no retreat no surrender.

Sounds like the option is pretty deep in the money. 

¯\_(ツ)_/¯ It be like that sometimes.