Anyone studying options for long enough begins to wonder about how the Greeks interact. Like, sure, an option’s delta approaches 0 or 1 (depending on its moneyness) as it gets closer to expiration, but what happens to its gamma, as it gets closer to expiration? Does that depend on its delta? Natenburg goes a bit into this with a plethora of graphs in his textbook. The unfortunate thing about books is that they’re all 2D and noninteractive.
