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Hi! I have one question. 90% of sources on the internet says that Gamma is at its highest when the option is ATM. However, in the video, gamma is at its highest when the option is OTM. Can you please explain the difference?

I think I have the answer. This inequality holds as long as p(Y) is negative. So, the implication is that when Y is greater than zero (the only way that x=2Y is going to be greater than Y is when Y is greater than zero), p(Y) es negative. In fact, in Acerbi (Spectral Measures of risk: A...

What do you mean "factored into the probability density"? To me, dp of q(p)dp is just notation, it does not mean anything. So, unless we are integrating with respect to some measure other than the Lebesgue measure, I don't know how the probabilities are included there.

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