Recent content by simonep

Thanks sle; who is the author?

There is ALWAYS a trade-off between theta and gamma. In other words, if you want to profit from positive theta, you CAN`T avoid negative gamma. You can consider diagonal spreads (vertical spread + calendar spread).

Short ATM straddle is delta neutral but has very high negative gamma (you have a negative gamma both on the short call and on the short put) , which is "balansed" by very high positive theta (on both options)

How much is your call worth now? And the same call with 310$ strike?