Gamma stock option portfolio: risk-free rate 10%, volatility 20%.

The portfolio consist of options with 3 different times to expiration. The gamma value of an option is increasing dramatically just before expiration if the option is about at-the-money. Local peaks or valleys therefore occur for each strike, near to maturity . (Long positions give positive gamma and short positions give negative gamma). Live 3D Virtual Reality graphics like this can be a very useful tool when managing complex option portfolios.