He most likely meant hedging gamma, so your portfolio's net gamma~ 0.
Free vol forecasts from NYU's VLab, you're welcome. http://vlab.stern.nyu.edu/
You can simulate Black Scholes valuation in excel. Google "black scholes in excel" and you'd find a ton of them. deriving expected realized...
The Price of Immediacy by Chacko, Jurek, and Stafford off Harvard Business School. http://www.people.hbs.edu/estafford/Papers/Immediacy.pdf...
Hey guys I noticed that some of the "last traded price"s have 2 extra digits in a slightly different font. Are they just precision average prices...
Here's a series of excel tutorial relevant to this (with pictures!) http://matdays.blogspot.com/2012/11/excel-data-analysis-10-basic.html...
noted with much thanks!
Hey SLE, how would you do the portfolio weighting if you wanted to trade the gamma spread between these futures and index options?
exactly.
Hey thanks for the feedback guys. I used to work for a regional index options market maker, and Greek hedging management is a pretty important...
Hey thanks for the feedback. I used to work for a regional index options market maker, and I'll try and address your points. -> If you look at...
Hey Caveman thanks for the feedback. I want to answer your points in a constructive manner, since I just wanted help. The gamma portion of the...
PnL curve is convex if you're long options, and concave if you're short. for exact PnL calculation on an option position, delta hedged or now,...
Be interesting if someone here could explain Goldman's training program for new traders.
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