Hello Option Gurus,
Need your help in understanding and setting up build block for delta nuetral position. Based on the three standalone option theories
1) When underlying (price) goes up, Volatility goes down
2) When Volatility goes down, Gamma (net, long or short) goes up
3) When Volatility goes up, Positive Theta goes up
Question #1, Is it correct to assume that, if price go up, then vega (net) & theta (positive) goes down and gamma (net) goes up and vice versa, when prices go down?
Question #2, Is there any recommended book or online resource that can help in understanding & maintaining delta neutral position either on a periodic basis or on occurance of an event like x% movement in underlying or change in volatility?
Appreciate your response in advance, Happy trading!!
Best
- Irshad
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