How Forex option Gamma can be more than 1
How Forex option Gamma can be more than 1
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user76029 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: user76029
Original post: https://quant.stackexchange.com/questions/80600
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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Problem statement:
How forex option Gamma can be more than 1 (more than deal notional)?
FX option details as below
INRJPY FX Option deal (PUT Option and Sell DEAL)
INR Notional=100
JPY Notional=161.29
Strike price 1.6129
Spot price 1.7092
Maturity 1 year
volatility =10%
interest rate INR =6.35% and
interest rate JPY = -0.019%
Greeks I am getting
Delta =0.56
Gamma =-2.26
Requesting to clarify why Gamma is more than 1 and more than Notional? If more than 1 then How it is derived?
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: user76029 Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/80600 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Problem statement: How forex option Gamma can be more than 1 (more than deal notional)? FX option details as below INRJPY FX Option deal (PUT Option and Sell DEAL) INR Notional=100 JPY Notional=161.29 Strike price 1.6129 Spot price 1.7092 Maturity 1 year volatility =10% interest rate INR =6.35% and interest rate JPY = -0.019% Greeks I am getting Delta =0.56 Gamma =-2.26 Requesting to clarify why Gamma is more than 1 and more than Notional? If more than 1 then How it is derived?
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