Tag: gamma
Concepts
Interview Questions
- How big a daily move breaks even on your theta?
- Turning theta into a daily rent bill
- Reading delta across deep in-, at-, and out-of-the-money
- Why perfect delta-hedging still leaves random P&L
- Why gamma explodes for an at-the-money option at expiry
- 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
- How big a move do you need to break even?
- Adding up a gamma-scalping week
- Pricing the edge when realized beats implied
- The gamma–theta trade-off of a hedged option
- Short a call, the stock gaps up, what did it cost you?
- Re-hedge more often, or pay less in trading costs?
- What is left when you delta-hedge a short straddle?
- Short gamma, why your hedges always chase the market
- When trading costs erase your gamma edge
- Short-dated for gamma, long-dated for vega
- Do options decay over the weekend?
- Adding waiting times, from exponential to Gamma