How Gamma and Theta Can Align for Deep In-the-Money Options Near Expiry

Summary

The document raises a question about an options behavior described in an options text: near expiration, deep in-the-money options can have gamma and theta moving in the same direction. It notes that this relationship may seem counterintuitive, since traders often learn gamma and theta as opposing exposures.

The text contains only the question and gives no explanation, derivation, example, or answer. It therefore identifies a potentially useful options concept but does not establish the conditions under which the stated relationship holds or explain its practical implications. Readers would need additional material on option Greeks, moneyness, and time to expiry to resolve the question.

Key ideas

• The document asks when gamma and theta can move in the same direction.
• It focuses on deep in-the-money options close to expiration.
• No derivation or answer is provided, so the claim’s conditions remain unspecified.

Tags

# When is gamma and theta in the same direction?


# When is gamma and theta in the same direction?












So, I am reading Natenberg and it says that during expiration(close to expiration), the deep in the money options will have Gamma and Theta in the same direction. This was a bit counter intuitive to me as to why that would be?

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