YouTube T4-16: Option delta plus gamma

Nicole Seaman

Director of FRM Operations
Staff member
Position Greek = (+/-) Quantity * Percentage Greek. If we are short a call option, then we are short position delta and short position gamma. If we are short a put option, then we are long position delta (ie, negative quantity * negative delta = positive) and short position gamma (ie, negative quantity * positive gamma = negative). To be short gamma is to be exposed to large jumps; aka, short volatility.

David's XLS is here:

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