change in delta and gamma

CFA Level II Portfolio Management
#1

How does the value of delta and gamma change as the option move to maturity.

#2

Delta:

  • For out-of-the-money options, delta approaches zero
  • For in-the-money call options, delta approaches +1
  • For in-the-money put options, delta approaches -1

Gamma:

  • For far out-of-the-money options, gamma approaches zero
  • For far in-the-money options, gamma approaches zero
  • For near-to-the-money options, gamma increases, becoming extremely large