- 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...
续:我觉得long gamma更像是一个等行情来的交易,而short gamma更多时候需要你主动出击。 王骏: 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...
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...
A short gamma position is any option position with negative gamma exposure. A position with negative gamma (short gamma) indicates the position’s delta will decrease when the stock price rises, and increase when the stock price falls. Short call and short put positions have negative gamma: If...
Gamma ray bursts: Short vs. long. G. Ghirlanda,L. Nava,G. Ghisellini. Advances in Space Research . 2011Ghirlanda G, Nava L, Ghisellini G, Gamma ray bursts: short vs. long, Adv. Space Res. 47, 1332-1336 (2011). http://dx.doi. org/10.1016/j.asr.2010.08.009...
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...
Long Gamma,指的是Buy put,buy call数量情况,或者long Gamma,如果很大,也会造成市场波动,但这种波动更多是MM要去收割的,但这种波动没有前者惨烈,毕竟这种Long是花钱买的,大不了就是把买的钱亏了,但前者不一样,那是会造成大量损失的,所以遇到short Squeeze,一旦上涨会死人的。
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。
One of the mysteries that surround gamma-ray bursts (GRB) is the origin of two classes of events: long and short GRB. The short GRB are similar to the first second of a long GRB. We suggest that the short bursts are interrupted long bursts, we point out a plausible mechanism for the...
A unified model of short and long gamma-ray bursts, X-ray rich gamma-ray bursts, and X-ray flashes Taking into account of the recent suggestion that the short gamma-ray burst (GRB) looks like the first 1 sec of the long GRB, we propose that the jet of the GRB consists of multiple...