Tag: delta-hedging
Strategies
Interview Questions
- How many shares to hedge 200 short call contracts
- Turning theta into a daily rent bill
- Why perfect delta-hedging still leaves random P&L
- Your convex P&L when the stock gaps overnight
- How much movement pays for a day of gamma rent?
- The short-gamma book, income until it isn't
- The gamma–theta trade-off of a hedged option
- Hedging option delta with futures instead of shares
- Short a call, the stock gaps up, what did it cost you?
- Re-hedge more often, or pay less in trading costs?
- Implied vol is 18%, you think realized will be 28%
- Where does gamma scalping P&L come from?
- Short a straddle, then the stock gaps
- Implied vol is 30%, you think realized will be 20%
- Netting a whole option book down to one hedge
- Short gamma, why your hedges always chase the market
- When trading costs erase your gamma edge
- Why your delta moves when implied vol changes (vanna)