hedging-options

  1. Nicole Seaman

    YouTube T4-19: Hedging (aka, neutralizing) option delta and gamma

    To hedge options Greeks, we want to rely on the formula: +/- Quantity * %Greek = Position Greek, where a short position is represented by negative quantity. In this example, the market maker writes 10,000 ATM call options, each with percentage (per option) delta of 0.550 and gamma of 0.0440...
Top