Assuming today, an option position's Greeks profile is as such:
Delta : + 0.7
Gamma : + 0.018
Theta : - 0.02
Vega : + 2.15
Question :
In order to be profitable, do you want your underlying's price :
a) To move or stay rather stagnant? Why?
b) To move in which direction? Why?
Enjoy
Answers will be posted by 16Nov09
One would want the underlying to increase in value because we are both +ve delta and +ve gamma
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