delta neutral下und变换赚到的钱是gamma pnl(外加一点超额波动溢价); 如果市场是纯sticky delta(假设...
1,1)self.SetCash(100_000)self.leverage:int=5self.quantile:int=10self.min_contracts:int=3self.one_stock_contracts:int=6*self.min_contractsself.min_expiry:int=35self.max_expiry:int=360self.exchanges:List[str]=['NYS','NAS','ASE']self.market...
Gammascalping确实靠stock move赚钱,但光move是没用的。为啥说没用?一只股票,每天都涨,请为我表演ga...
Legendary hedge fund manager sounds alarm on US debt (Here's why he's wrong) Regardless of who wins the White House, the next American President could face an unprecedented debt challenge. ^IN Advanced Chart AFCG Created with Highcharts 8.2.229. Jul5. Aug12. Aug19. Aug26. Aug2. Sep9...
Upon settlement of these options Porsche will receive in cash the difference between the then actual Volkswagen share price and the underlying strike price in cash. The Volkswagen shares will be bought in each case at market price. 简单地说就是保时捷已经通过直接持股和期权控制了74.1%的普通股,加上...
Higher Gamma values suggest that even relatively slight price changes in the underlying stock or funds could cause the Delta to fluctuate significantly. For instance, if XYZ is trading at $200.00 and the market price is $200.00, a $200.00 call on XYZ is in-the-money. ...
类型:基金 市场:西班牙 发行商:Singular Asset Management SGIIC ISIN:ES0140794019 资产类别:股票 晨星评级: 总资产:48.36M 总况 图表 技术 论坛 资产配置 名称持仓占比多仓%空仓% 现金8.25052.49044.240 股票10.37010.7300.360 国债79.37080.9101.540 可转债1.7901.7900.000 ...
So to neutralize their market risk they have to hedge. And they do this by trading the underlying stock–otherwise known as delta hedging. Delta hedging is simple. Remember, an option’s delta is the multiple of which an option price will move for each respective $1 move in the underlying...
In a nutshell, gamma scalping involvesthe process of scalping in and out of a position via the underlying marketso that one can make enough adjustments over the delta of a long option premium to balance out the time decay component of the options position as part of a long gamma portfolio....
Trying to forecast stock market movement without paying attention to the impact of options flows is like trying to build a sandcastle on the beach with a blindfold over your eyes. That's Where Options Flow and"Positional Analysis"Comes In. ...