Gamma可以理解为市场情绪的指标表现,看涨情绪和恐慌情绪。期权有三个维度,价值维度,时间维度和情绪维度。 11月前·北京 4 分享 回复 用户5735158492623 ... 能不能说说etf期权 10月前·河北 0 分享 回复 yunni ... delta就像速度,gamma像加速度 11月前·新疆 ...
而short gamma策略通常涉及卖出这些期权，从而持有负gamma。Gamma描述了Delta（期权价格对于标的资产价格变化...
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...
Short gamma＝negative gamma 也就是小于0 Long gamma＝positive gamma 也就是大于0 以此类推 只不过就...
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...
Short Gamma Example The positions with negative gamma are said to be “short gamma.” As you can see here,short gamma positions are harmed when the stock price moves against the position because the directional exposure of the position grows in the opposite direction as the stock price movements...
We compare the spectral properties of 79 short and 79 long Gamma-Ray Bursts (GRBs) detected by BATSE and selected with the same limiting peak flux. Short GRBs have a low-energy spectral component harder and a peak energy slightly higher than long GRBs, but no difference is found when com...
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。
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...
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。