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What to predict in delta-gamma hedging?

It does not make sense to buy the "prime" option, you would only obtain a gamma-neutral portfolio by shorting it, because you would need the option gammas to offset each other. I don't think ...
KaiSqDist's user avatar
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How to estimate Dealers’ Gamma Positioning

The Hedging Demand and Market Intraday Momentum paper by Baltussen et al may be useful to answer your questions. Not only retail buys puts and sells calls, mutual funds tend to also write calls and ...
aghilario's user avatar

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