option p l brad extreamly busy yesterday sorry answing question till although exactly sure system handle gamma think system curve shift today price yesterady price p l due curve shift today market value using today price curve everything esle yesterday yesterday market value using yesterday price curve p l due curve shift contains delta gamma higher order terms use theoretical gamma meaning option model gamma 0 5 gamma price change 2 gamma contribution define delta curve shift theoretical gamma therefore gamma may accurate explain delta change especially big price change due higher order contribution let know thoughts best wishes zimin brad horn 10 12 2000 07 11 zimin lu hou ect ect stinson gibner hou ect ect cc vince j kaminski hou ect ect vladimir gorny hou ect ect robert shiring hou ect ect jay knoblauh hou ect ect subject option p l gentleman erms system know excellent capability decomposing option p l following components new deals curve shift gamma vega theta rho drift 2 nd order adjustments dont understand gamma component reported dollars unit measure suggests incremental changes contract position associated specific prices prices effective buy sell prices associated dynamic delta position stated differently standard taylor expansion incorporated price variable way convert unit measure gamma standard contract count total gamma dolalrs something dont understand date inquiries risk management accounting group revealed gamma component p l well understood concerns bridgeline 2 books option exposures nymex gas daily books dynamically hedged positions yesterdays large price move anticipitory hedging advance large price move secured sufficient coverage neutralize expected changes delta however p l underlying position offset gamma p l consequently ask im hoping brief look gamma dollars calculated may reveal something better guide hedging decisions help appreciated