Is Gamma largest when near the money or the maturity is approaching? Thanks in advance.
Gamma is largest when it is at-the-money and close to expiration.
Gamma is a function of Vega too
off topic but vincent vega comes to mind whenever i read the word vega. gotta love pulp fiction. just putting it out there. 
matthieuboizard Wrote: ------------------------------------------------------- > Gamma is a function of Vega too Wrong.
gamma is the first derivative of delta. it is the change in delta given a change in underlying stock price.
matthieuboizard Wrote: ------------------------------------------------------- > Gamma is a function of Vega too fail
nyccfa2010 Wrote: ------------------------------------------------------- > matthieuboizard Wrote: > -------------------------------------------------- > ----- > > Gamma is a function of Vega too > > > fail If you say so. Ever heard of Zomma ?
No, but I would love to be enlightened on this one…do tell.
From Wiki: Zomma measures the rate of change of gamma with respect to changes in volatility. Zomma has also been referred to as DgammaDvol. Zomma is the third derivative of the option value, twice to underlying asset price and once to volatility. Zomma can be a useful sensitivity to monitor when maintaining a gamma-hedged portfolio as zomma will help the trader to anticipate changes to the effectiveness of the hedge as volatility change
this just means that this made up greek term depends on gamma sensitivity to vega, not the way it was first presented (gamma is not dependent on vega).
Therefore “Zomma” is related to gamma, not a function of gamma, and we certainly don’t have a relationship that suggests gamma is a function of vega. You have taken a wikipedia term, which is questionable about its accuracy in the first place, and provided no information to back up your statement. Gamma is a function of volatility (among other variables), not a function of vega.
Always appreciate your input, wyantjs. It’s good to hear from someone with experience.