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Delta Gamma Neutral (Level) of a Short Straddle

Sixcarbs

Active Member
Subscriber
Hola.... Here is the complete SPX Option Chain data for today (For SPX April 17 contract expiration)

Hi Jorge,

Let me know if this makes sense.

FIrst, I am getting TWO gamma numbers. The gamma numbers were much different than the 7th since expiration is only 2 days away.

For Gamma I get:
2,751.3
and
2,901.3

For Delta I get:
2,827.3

How did I do?
 

JorgeOrvananos

New Member
Well...I will know tomorrow morning since this particular analyst sends numbers at 8am.... I will let you know as soon as I get them.... NOW I WON'T be able to sleep all night to see those numbers so I can send them to you... Thank you SOOO much for all your help...Will let you know first thing tomorrow morning... I think Gamma is the higher one...but we will know tomorrow... Have a good night
 

JorgeOrvananos

New Member
Delta = 2,834 ( so I think that is right in the money)
Gamma=3,121
So 2 things that I can think about:
a) Are you setting this analysis spreadsheet as a short straddle?
b) In his definition he says "Extreme out of the Money options may be filtered out for some options".... Maybe we can play with the numbers if we delete some contracts on the top and the bottom.... BUT I don't want to be asking for too much work on your end...if you send me a spreadsheet then I can delete one by one and see if I get to the Gamma numbers a little closer.

By the way, what time zone are you in? Because I see you working all the time, but if you are on the West Coast I don't want to interrupt your sleep right now
 

Sixcarbs

Active Member
Subscriber
Delta = 2,834 ( so I think that is right in the money)
Gamma=3,121
So 2 things that I can think about:
a) Are you setting this analysis spreadsheet as a short straddle?
b) In his definition he says "Extreme out of the Money options may be filtered out for some options".... Maybe we can play with the numbers if we delete some contracts on the top and the bottom.... BUT I don't want to be asking for too much work on your end...if you send me a spreadsheet then I can delete one by one and see if I get to the Gamma numbers a little closer.

By the way, what time zone are you in? Because I see you working all the time, but if you are on the West Coast I don't want to interrupt your sleep right now

I am in Europe. If you are happy with the Delta number I will pal with the gamma calculation and try and see why I was so off today and dead on the number on the 7th. I still think it gets very ugly with 2 days to go till expiration.
 

Sixcarbs

Active Member
Subscriber
Delta = 2,834 ( so I think that is right in the money)
Gamma=3,121
So 2 things that I can think about:
a) Are you setting this analysis spreadsheet as a short straddle?
b) In his definition he says "Extreme out of the Money options may be filtered out for some options".... Maybe we can play with the numbers if we delete some contracts on the top and the bottom.... BUT I don't want to be asking for too much work on your end...if you send me a spreadsheet then I can delete one by one and see if I get to the Gamma numbers a little closer.

By the way, what time zone are you in? Because I see you working all the time, but if you are on the West Coast I don't want to interrupt your sleep right now

If I eliminate the gamma below 2400 and above 3200 I get a 3rd Gamma Neutral around 3185, but I still have two others between 2750 and 2755, and between 2900 and 2905.

Did I eliminate too much or not enough?
 

Sixcarbs

Active Member
Subscriber
It seems to me you can easily have multiple gamma neutral levels. Ask him if that is correct?
 

JorgeOrvananos

New Member
Well... he ain't a nice guy like you...as a matter of fact he is a pretty mean guy....so he won't tell me what he is eliminating... did you set this up in a spreadsheet?
 

Sixcarbs

Active Member
Subscriber
Well... he ain't a nice guy like you...as a matter of fact he is a pretty mean guy....so he won't tell me what he is eliminating... did you set this up in a spreadsheet?

Yes, I did it all on Excel, but it's pretty raw right now.

I may play with this more in the morning. Do you have anything for May expiration? Should be much cleaner than April with a day to go.
 

JorgeOrvananos

New Member
yes
I will send you a spreadsheet with may option chain and then we can see how the numbers match tomorrow when he publishes the may expiration numbers
 

JorgeOrvananos

New Member
Hola...here is the May Expiration SPX Options Chain.... Answer hint - We will know exact May numbers tomorrow...BUT they should be around these levels: May Delta = 2,842 and May Gamma 3,034.... Not sure how hard is for you to compute the numbers.... would be curious if you get something around those levels.... Attached is file with May SPX Chain
 

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  • SixCarbsData - May 15 2020 SPX Option Chain - Recorded at the close on April 16 2020.xlsx
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Sixcarbs

Active Member
Subscriber
Hola...here is the May Expiration SPX Options Chain.... Answer hint - We will know exact May numbers tomorrow...BUT they should be around these levels: May Delta = 2,842 and May Gamma 3,034.... Not sure how hard is for you to compute the numbers.... would be curious if you get something around those levels.... Attached is file with May SPX Chain


Based on this last spreadsheet for May, and using the same methods, and eliminating nothing I get the following.

Delta
2791.1

Gamma
2954.6
2979.8
2990
3031.8
3046

I am still getting multiple gamma neutrals. Either I am doing something wrong, or that is just the nature of the results.

I feel very good about the delta results.
 

JorgeOrvananos

New Member
Using May's numbers, Delta=2840 and Gamma=3021... Do you want to send me the spreadsheet even in raw format and I can play with it ....i can add or delete contracts, play with the signs, etc... sometimes another set of eyes helps?
 

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JorgeOrvananos

New Member
Hi David... Good news is that I made a new friend in your forum ... Sixcarbs is amazing!!!

However, we have not been able to correctly solved the puzzle... I sent you a detailed PDF and a spreasheet last Monday...not sure if you saw it....

BUT I just found a new clue to the puzzle... I found a chart of the solution but I am having a hard time understanding how the analyst is grouping the calls and puts to form the short stradle... first i thought he was just lumping them in 100 spx points buckets..but that is not the case...any ideas how to generate the chart attached with the data that is included in the spreadsheet? I guess if you cant solve it then i will probably give up (but that is not my nature)... but I am running into a wall... just wanted to ask if you had seen the spreadsheet and pdf from monday since I never heard from you
 

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David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi @JorgeOrvananos glad @Sixcarbs could assist! I haven't look at the updated stuff. I'm in the same situation: I need to prioritize outstanding FRM customer support and content. I have still have considerable content updates in my stack (and unanswered customer questions) so it's not responsible for me do other work as long as our customers are waiting on me. You'd probably be surprised how much time it takes to update our material. Until we have all of the study notes updated, I'm under time pressure ... I've bookmarked this thread, I will come back when I can ...
 
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