You
compute the current gamma for a 50-60 bull spread with the following information:
(i) The continuously compounded risk-free interest rate is 5%.
(ii) The underlying stock pays no dividends.
(iii) The current stock price is $50 per share.
(iv) The stock’s volatility is 20%.
(v) The time to expiration is 3 months.
Calculate the change in gamma after 1 month, if the stock price does not change.