A true decomposition actually has very little to do with gamma…the real culprit was that the implied vol collapsed on these strikes so while they won on delta and gamma they lost a lot on vega (option sensitivity to level of implied vol) so they just didn’t work very well. this is quite common on meme stocks or squeezes, where the puts just fail to deliver the payoff you think they should
Apr 25
at
6:05 PM
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