#### mensatrader

##### Active member

many thanks

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- Thread starter mensatrader
- Start date
- Watchers 3

many thanks

many thanks

Not sure I've understood the question, but the formula for the gamma depends on time to maturity and the vol (among other things). Adjusting the vol for different times is not a linear adjustment, you need the square root with respect to time.

Last edited:

Not sure I've understood the question, but the formula for the gamma depends on time to maturity and the vol (among other things). Adjusting the vol for different times is not a linear adjustment, you need the square root with respect to time.

thanks mate! it's not adjusting vol, but adjusting gamma based on different vol of different maturities

many thanks

thanks mate. i think that's where shadow gamma comes from.Haven't you answered your own question? It is a certainty the gamma will be different among different expires. But I would model the differences and see if it is worth the bother of netting out multiple gammas.

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