Questions tagged [gamma]

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5
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0answers
890 views

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-...
3
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0answers
82 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 ...
2
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0answers
115 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 ...
2
votes
0answers
45 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 (...
2
votes
0answers
56 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 ...
2
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0answers
99 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 ...
1
vote
0answers
97 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, ...
1
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0answers
67 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?
1
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0answers
1k views

Short Call Hedge. Options and gamma trading

Let’s say a trader sells a Short Call with strike 100 (for making profit with the premium) at-the-money (for highest extrinsic value there). For hedging until expiration, he buys the underlying share ...
1
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0answers
65 views

Stress Test for gamma FX portfolios?

How can I create scenarios to stress gamma FX portfolios? If I shock the underlying for example +/-10%, then I gain in both scenarios. I get to capture some losses if I shock the implied volatility. ...
-2
votes
0answers
74 views

Greek gamma theta vega

I have a question concerning the greek. Can some one explain to me why vega, theta and gamma are extremum when the spot is equal to the strike price ?