What is the correlation between gamma and delta and the volatility of cryptocurrencies?

1 answers

• Nov 27, 2021 · 3 years ago
  When it comes to the correlation between gamma and delta and the volatility of cryptocurrencies, it's important to understand the role of options Greeks in the market. Gamma measures the rate of change of delta, which represents the sensitivity of the option's price to changes in the underlying asset's price. A higher gamma means that delta can change more rapidly, leading to larger price swings in the option. This can contribute to increased volatility in the cryptocurrency market. Delta, on the other hand, measures the change in the option's price for a given change in the underlying asset's price. A higher delta means that the option's price will move more in line with the price of the cryptocurrency, increasing the volatility. Therefore, the correlation between gamma and delta and the volatility of cryptocurrencies is that higher gamma and delta values can contribute to higher price volatility in the market.
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