What's new

# Gamma Exposure

#### [email protected]

##### New Member
Hi David,

I get when you calculate Delta Exposure you use = delta of the position * quantity

However, when you calculate gamma exposure why do you divide the result by 100 = (gamma of position * quantity)/100

The gamma and delta are direct output from kirk spread approximation.

Staff member
Subscriber

#### ckwhan

##### New Member
@david quoting from you "I calculate gamma = N'(d1)/[\$100.00*0.18*sqrt(3/12)] "

i read somewhere the gamma is N'(d1) * Exp(-q*t) / (s * v *sqrt ( t ))

could you advice on the above? Thank you.

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
HI @ckwhan Yes, your formula for gamma is correct. I was referring to the same gamma for a non-dividend-paying stock such that q = 0, where q is the dividend yield, and exp(-qt) = exp(0) = 1.0. Yours is better because it's more general. Thanks,

Replies
1
Views
134
Replies
36
Views
2K
Replies
2
Views
140
Replies
1
Views
1K
Replies
0
Views
356