The short-gamma book, income until it isn't
Asked at DRW, Akuna
You are short a call and you delta-hedge it continuously, so the position is directionally flat. The stock is at , the option's gamma is , and it was sold at an implied volatility of .
Where does your daily P&L come from, and under what condition do you lose money?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.