short call and gamma

CFA Level II
#1

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?

#2

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.

#3

thanks

#4

how about gamma, is gamma also the same whether you are long put or short put

#5

yes gamma should be the same with a long or short

#6

I don’t agree

#7

go on…

#8

I think short put gamma is <0, my opinion only, correct me if wrong

#9

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

#10

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.

#11

short call my opninon is positive delta, if short call , stock price increase, delta should increase, in your case, absolute value of delta reduce

#12

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?

#13

short call is negative delta, if stock goes up value of short call goes down, hence delta is negative

#14

I check CFA text, I 'm with CFA text opinion, Stock up, call up, delta >0 and increase, but short call has negative value

#15

that’s correct.

#16

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…

#17

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.

#18

If your position is a a short call, the delta on that position will be negative.