Testing the Effect of the Gamma Effect on a Call Nordea Option Delta and How a Hedge Position Is Achieved

We analyze the gamma effect on a call Nordea option delta and how a hedge position is achieved. There is significant time variation in the gamma effect on a call Nordea option delta and the traditional Black – Scholes model can not explain this deviation. The Black – Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the call Nordea option is not overpriced relative to other call market prices. The call Nordea option delta contract with short maturity show high market standard deviation relative to the other call prices. Possible explanations are bid – ask spreads, transactions costs and leverage