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it's then very dangerous to depart a delta neutral portfolio unchanged for almost any period of time. Permit’s fully grasp this factor in the example down below:
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In the event the gamma is tiny, delta variations slowly but surely, and changes to keep a portfolio delta neutral need to be made only fairly infrequently. having said that if Gamma is highly detrimental or hugely beneficial, delta is quite sensitive to the price of the underlying asset.
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