# Questions tagged [gamma]

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### Gamma Imbalance / Exposure

I am currently writing my thesis about the lack of volatility / changing market structure we see nowadays on the financial market. I believe an important factor in this development is the delta-...
87 views

### Intraday Value at Risk approximations

We use full valuation of derivatives portfolios using scenarios from historical data. For simple contracts, this is relatively fast. For contracts requiring monte carlo simulation, this becomes ...
129 views

### Beginner question on Black Scholes

Would you please confirm whether my understanding is correct please? (Sorry a lot of questions...) 1) BS is derived based on the assumption that during an infinitesimal time, we can replicate the ...
46 views

### Calculate latest underlying price (or option), given new option (or underlying) market price?

Given a reference underlying price, reference option price, delta and gamma, if I receive a new underlying/option price what equation should I use to calculate the respective option/underlying price (...
58 views

### What should $T$ be when gamma trading?

I am studying some gamma trading, and there's one thing I don't understand. On the option we are hedging, what should its expiry $T$ be, and for how long should we do the trade? What I mean is, is it ...
100 views

### Testing for the presence of a positive or negative gamma effect

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 ...
53 views

### Gamma PnL Formula and Break-Even volatility

When we derive the P&L of a delta hedged option we obtain: $$\text{P&L}=\dfrac{1}{2}\Gamma(\delta S)^{2}-\theta\delta t$$ and setting equal to zero and rearranging we obtain:  \dfrac{1}{...
118 views

### Can prediction of realized volatility for next day improve delta hedging (gamma scalping)?

Im quite confused. As I understand from standard delta PNL of option + underlying position, pnl is equals to difference between realized and implied vol weighted by gamma. However, as I understood, ...
80 views

### gamma-weighted SOIR

I came across a term 'gamma-weighted SOIR' several times recently. it seem like an old term on gamma imbalance. could someone care to explain what this is and the rationale behind it?