I am currently analyzing a statistic that I believe will have the effect of hedgers having a positive or negative gamma position in certain stocks. In the case where I believe hedgers have positive ...
I am a little bit confused about VaR in Options and I need a clarification for. I collected the following formulas, can you suggest what is the best formula and explain me why, please?
Let's say there is a $1 stock, with say 1 day to expiration. The 1.5 strike call, is probably a 0 delta at this point; however, a 1 point increase would mean the stock would be at trading at 2 ...