- 考虑到无视交易成本，即对冲成本不计，那么一个可能同时导致long gamma和short gamma策略亏损的场景是...
股指的Short gamma对冲吧,本质就是一个追涨杀跌的止损操作,有人喜欢基于模型,每天按照平方根法则,x%对冲一次,基于你定价的逻辑,使用中性参数,严格这样对冲可能没什么太大问题(很大的定价buffer除外,爱咋冲咋冲),但是如果手工对冲,真涨跌到了x%的位置,这就变成了要不要赌它继续涨超x%或者回调。问题就变成了,每天...
January 27, 2023 long gamma short gamma Gamma is one of the primary Options Greeks, which measure an option's sensitivity to specific factors that could affect an option price. Despite traders hyping up several different Greeks and second-order Greeks like "Vanna" and "charm," there are onl...
While short GRBs have observed peak energies larger than few MeV during most of their evolution, long GRBs can start with a softer peak energy (of few hundreds keV) and become as hard as short ones (i.e. with E obs peak larger than few MeV) at the peak of their light curve. Six...
我们知道,按照Gamma的正负去分,期权的持仓结构可以分为两个大类,一种是long gamma的持仓,以双买、反向日历等策略为代表;另一种是short gamma的持仓,以双卖、正向日历等策略为代表。那么,是long gamma过节好呢?还是short gamma(即long theta)过节好呢?
我的回复里是先解释这两个字母的含义,后面我也说了“题干要求short vega(vega要小于0),long gamma(gamma要大于0)”,所以long gamma的意思是需要构造一个期权组合使得最终总的gamma大于0,short vega是使得总的vega要小于0。 你在Long short-term option之后,gamma是大于0了,此时vega也是大于0的。为了保留大于0的...
如果是variance swap是单独把波动率剥离出来交易的角度去看,要时刻保持delta neutral,为什么会有gamma?同理,从合成的角度去看,可以理解long option+short underlying,会有gamma,但之所以要short underlying就是为了要冲掉delta,我理解这是一个dynamic hedge,也就是要保持delta neutral,那gamma应该也是0。
如果你硬要对冲的话可以选择short长期的ATM期权或者straddle，因为长期期权的gamma不大，而vega比较大，...
Taking into account the recent suggestion that a short gamma-ray burst (GRB) looks like the first 1 s of a long GRB, we propose that the jet of a GRB consists of multiple subjets or subshells (i.e., an inhomogeneous jet model). The multiplicity of the subjets along a line of sigh...
抱歉没认真看下去,short spot是看跌,long put也是看跌。这不是互相对冲的单子,这是spot+gamma组合,超级看跌。一般如此入场都是希望股价带来的收益cover全部的期权prenium后撤掉股票头寸,只剩下期权头寸。这样没了敞口,期权要么继续盈利,反向输光变零也不亏。由于第一行就是这个前提,我后面没看下去,因为不需要看了。