in short call and short put, is delta all <0, in short call, gamma>0? if I short call and long stock, when stock increases, delta increases, do I need to buy less stock to do delta hedging?
The delta of a call option should be the same whether you are long or short. If delta increases you would need less options to hedge your stock since a 1% increase in the stock will cause a greater change in the call then before.
how about gamma, is gamma also the same whether you are long put or short put
yes gamma should be the same with a long or short
I don’t agree
I think short put gamma is <0, my opinion only, correct me if wrong
Gamma is greatest at when a call or put is at the money, the further the price moves from the exercise price. I don’t think there is a difference between a short or long put gammas, just like delta of a short or long call is the same. Now, value and its effect would change depending on if your long or short the assest / long or short the call / long or short the put
The delta of a call can range from 0.00 to 1.00; the delta of a put can range from 0.00 to –1.00. Long calls have positive delta; short calls have negative delta. Long puts have negative delta; short puts have positive delta. Long calls and long puts both always have positive gamma. Short calls and short puts both always have negative gamma.
short call my opninon is positive delta, if short call , stock price increase, delta should increase, in your case, absolute value of delta reduce
yeah that correct. was referring to the size of Delta. so a call delta =.6 put delta -.4, short call delta =-.6 and short put delta .4 right?
short call is negative delta, if stock goes up value of short call goes down, hence delta is negative
I check CFA text, I 'm with CFA text opinion, Stock up, call up, delta >0 and increase, but short call has negative value
as far as i have read…call deltas are positive that is frm 0 to 1 as d stock price increases and put deltas are negative that is frm -1 to 0 as the stock price increases cause call deltas are positively related to stock price…and put deltas are negatively related to stock price… as far as gamma goes…long calls n long puts have positive gammas and short calls n puts will have negative gammas…
sgkhade07 Wrote: ------------------------------------------------------- > as far as i have read…call deltas are positive > that is frm 0 to 1 as d stock price increases and > put deltas are negative that is frm -1 to 0 as the > stock price increases cause call deltas are > positively related to stock price…and put deltas > are negatively related to stock price… > > as far as gamma goes…long calls n long puts have > positive gammas and short calls n puts will have > negative gammas… Yes. Delta will be >0 for calls and <0 for puts. If you sold a call, you are short, Delta doesn’t reverse itself. Delta will still be positive. As Delta approaches 1 the option is getting further and further into the money and becoming more valuable to the call holder but, the investor who wrote the call option is at a loss.
If your position is a a short call, the delta on that position will be negative.