Quick Notes on Haug's Article (Know Your Weapon I)

Concerning vanilla options and good-O' Black- Scholes:

1. Delta (the absolute value of which) can be greater than unity
2. As a corollary, ITM put can have absolute Delta lower than 0.5 and OTM call can have Delta greater than 0.5
3. Gamma and Vega attain their max NOT at-the-money-forward
4. Ordinary way of computing Gamma has a saddle point; there's a peak at the long expiry zero underlying boundary
5. As a consequence, GammaP might be more useful than Gamma in describing gamma risk

Ref: Haug, Know Your Weapon Part I