w*****m
发帖数: 414 | 1 如果你hold 一个 call option， 要对冲风险，是应该 long gama, or short gama?
Why?
谁能给一个简单，直观的答案啊？ |
m*********g
发帖数: 646 | 2 for simple call option, gamma is always positive. So if you long a call, you
should short gamma in your portfolio to make it gamma neutral |
w*****m
发帖数: 414 | 3 My answer was right?!!
But,
Why gama is always positive for a simple call option?
Gama is the first derivative of option price to asset price, right? How do
you explain the gama is always positive for a call option?
And,
How to short gama?
you
【在 m*********g 的大作中提到】
: for simple call option, gamma is always positive. So if you long a call, you
: should short gamma in your portfolio to make it gamma neutral
|
m*********g
发帖数: 646 | 4 I don't know how can you get the answer, since gamma is actually the 2nd
derivative of option price to asset price.
What you just described is delta, which is always in the range of [0,1] for
the simple call option.
【在 w*****m 的大作中提到】
: My answer was right?!!
: But,
: Why gama is always positive for a simple call option?
: Gama is the first derivative of option price to asset price, right? How do
: you explain the gama is always positive for a call option?
: And,
: How to short gama?
:
: you
|
g******n
发帖数: 7 | 5 Gamma is the second order derivative of call option price w.r.t the
underlying price.
Second order derivative describs convexity.
Simple call option is always convex, so gamma is positive. |
w*****m
发帖数: 414 | 6 Thanks, moonsspring and gbmorgan,
I was wrong. I mean it but wrote something wrong.
Yes, you are right. Simple call option is always convex. It's very clear why
gamma is always positive.
But could you tell me a little bit more about how to short gamma? |
s*z
发帖数: 37 | 7 to short gamma, you could short another option with the same underlying
asset, whose gamma is positive. ( or long another option whose gamma is
negative )
after making gamma neutral, hedge the delta to make it delta neutral. |
l*******l
发帖数: 248 | 8 why do we make gamma neutral first, then delta neutral? I don't think small
positive gamma matters.
【在 s*z 的大作中提到】
: to short gamma, you could short another option with the same underlying
: asset, whose gamma is positive. ( or long another option whose gamma is
: negative )
: after making gamma neutral, hedge the delta to make it delta neutral.
|
t**********a
发帖数: 166 | 9 small gamma does not matter, even you can't make strictly delta neutral in
reality (trade size need to larger than some size).
At the end, it all depends on the views, if you want to express view on
realized price move vs implied vol, you might want to long or short gamma... |
m********0
发帖数: 2717 | 10 of course short,
buy call/put = long gamma already.
【在 w*****m 的大作中提到】
: 如果你hold 一个 call option， 要对冲风险，是应该 long gama, or short gama?
: Why?
: 谁能给一个简单，直观的答案啊？
|
p*****y
发帖数: 529 | 11 what option has negative gamma?
【在 s*z 的大作中提到】
: to short gamma, you could short another option with the same underlying
: asset, whose gamma is positive. ( or long another option whose gamma is
: negative )
: after making gamma neutral, hedge the delta to make it delta neutral.
|
h*y
发帖数: 1289 | 12 Nice discussion. I also have a question. My understanding is that the gamma
is similar to the convexity in Fixed Income, which is positive for a non
callable bond. And positive convexity is always good because we benefit in
either direction of interest rate movements.
So as the gamma, if delta is hedged, we should benefit from positive gamma
no matter price goes up or down.
Am I right or not?
If I'm right, why we want to hedge gamma? |
t**********a
发帖数: 166 | 13 you pay theta for gamma. so you need to have price move big enough to make
profit if you long gamma.
Depending on the view of realized price movements vs implied vol, you might
take different gamma position.
gamma
【在 h*y 的大作中提到】
: Nice discussion. I also have a question. My understanding is that the gamma
: is similar to the convexity in Fixed Income, which is positive for a non
: callable bond. And positive convexity is always good because we benefit in
: either direction of interest rate movements.
: So as the gamma, if delta is hedged, we should benefit from positive gamma
: no matter price goes up or down.
: Am I right or not?
: If I'm right, why we want to hedge gamma?
|
h*y
发帖数: 1289 | 14 makes sense. 受教了, Thanks
might
【在 t**********a 的大作中提到】
: you pay theta for gamma. so you need to have price move big enough to make
: profit if you long gamma.
: Depending on the view of realized price movements vs implied vol, you might
: take different gamma position.
:
: gamma
|
