What are the various information a convertible bond with high gamma tell you.I have always looked at it from Gamma = chg in delta/chg in underlying and henceby how much one's delta would change.Would appreciate some additional info or other ways to interpret this info.regards

Perhaps there is a time limit to the convertibility?MP

You have to be careful about how the convertible bond gamma is defined.Normally, a high gamma would mean the underlying price is near the exercise price and there is not much time until expiration. That could certainly happen with a convertible bond near maturity.But it's rare for a convertible bond to get to maturity with the stock near the exercise price. It does happen, but it's more likely this is a bond that is on the borderline for being called. It might have a delta of, say, 0.7 if it is not called, and 1.0 if it is called (because it would be converted upon call). A small move in the underlying stock price might tip the issuer's decision and move the delta by 0.3.However, computing delta (hence gamma) for callable convertible bonds is not standardized. Different people do it different ways, and it is very sensitive to modelling assumptions.

Thank you, Ideally I was hoping to do this, any suggestions really appreciated,Let's assume I have a list of all convertibles issued in a region (e.g U.S) I was hoping togroup them in different categories, (the simple one's I can thik of i,e sector, cheapnessetc). But I would like to also group them by some greek outputs, will this be helpfulwhat would be some ideal classifications. Regards

I would be inclined to start by grouping by bond value (what the convertible would be worth without the conversion option) divided by price. For bonds with small option value, I would group by credit rating and sector. For bonds with large option value, I would group by sector. For intermediate bonds, I would group by option delta and gamma.How's that?