Told you in theory yes, but not in practical trading. In practice, the price never reaches 1D (it's 1D standing for delta of 1 not 100D) so DITM that the gamma reaches zero no matter how much of a smile there is because IV always adapts and adjusts so gamma never reaches zero especially for longer-term expirations. If you look at options prices statically yes, you see gamma at two extremes are zero but in real trading, everything changes and changes dynamically in real-time to adjust to new situations. This is another point that I was making and that's why I said I don't give a fuck about delta because in real-life trading, nothing ever stands still; everything changes, whatever pricing models Black & Scholes, binomial whatever, they all go out of the door because they all assume constant IV. On Oct. 19, 1987 that Black Monday, maybe when the market dropped 20% at one point when the vol just couldn't catch up, gamma became very very low, close to zero but I highly doubt if it ever reached zero unless you have an options pricing screen with all the calls/puts from that day during the midst of the 20% price drop to prove to me.
And to blame it on leverage is ridiculous. Options itself is a leveraged product and to say that has any bearings on the price movement is just absolutely ludicrous. And to say something like gamma which is the second derivative of price, how fast the price is changing is leverage is something that is just beyond stupidity. What are traders borrowing with gamma? LOL
I dunno why I bother responding to this thread.
