Gamma

[grantx]

I’m getting some weird results for Gamma on DAX Puts of late. Could someone give their estimate from the following:

days: 39

rate: 4%

strike: 7900

underlying: 8010

implied volatility: 21%

delta: 0.40

premium (put): 165.


I use the Black ‘76 formula.

Thank you for any suggestions.

Grant.

 

[Profitaker]

underlying: 8010

What is the forward value of the DAX ?

 

[grantx]

PT,

8009 is the forward value for 39 days (August expiry).

If relevant,

cash: 7976

Sep future: 8034.

If this should revert to a prior discussion, could we first assume the input underlying is the 39-day foward figure of 8009, then re-examine previous issues?

Quiet, isn't it? Peace and tranquility, or the calm before the storm?

Grant.

 

[Profitaker]

Grant

I get:-

Put value 167
Delta 0.407
Gamma 0.00072

What's wrong with that ?

 

[grantx]

PT,

Apologies for the delay in reply - power supply on my pc blew and had to be replaced.

To five decimal places, I also get .00072.

My problem was some gammas were positive, others negative without long/short differentiation. I've discovered the root of the problem - in Excel, rounding of put delta does not provide accurate put gamma.

Thank you for your help.

Attached is a pdf file re Variance Swaps - interesting notes re implied.

Grant.

 

[grantx]

PT,

Can't upload pdf file. Give me time.

Grant.

 

[grantx]

PT,

Attached.

Grant.

 

[Profitaker]

Interesting paper. Thanks Grant.

 

[grantx]

You're welcome.