Market maker's delta-hedge illustrated (FRM T4-20)
[my xls is here https://trtl.bz/2O1OwKT] This market maker writes one call option (to the client) and hedges delta by purchasing Δ shares of the stock; this neutralizes delta but leave the market maker with a negative position gamma due to the short option position. The net profit, which is quantified in this video, on the position (i.e., short one call plus long one Δ share) is positive for short moves in the stock price but negative for large moves. There are four components to the market makers net gain/loss: interest received on cash from the short call, interest paid on the cash used to fund the purchase of the Δ share, positive theta (because time decay is a gain for the short option position!), and negative position gamma which overwhelms the other components as the magnitude of the stock movement (in either direction) increases. Discuss this video here in our FRM forum: https://trtl.bz/2JxHgqV
Видео Market maker's delta-hedge illustrated (FRM T4-20) канала Bionic Turtle
Видео Market maker's delta-hedge illustrated (FRM T4-20) канала Bionic Turtle
Показать
Комментарии отсутствуют
Информация о видео
Другие видео канала
![Hedging (aka, neutralizing) option delta and gamma (FRM T4-19)](https://i.ytimg.com/vi/GCAM8UyCitE/default.jpg)
![Inside the Mind of an Options Market Maker](https://i.ytimg.com/vi/kukp50Sr5aU/default.jpg)
![How Market Makers Stop You Out | 2020](https://i.ytimg.com/vi/DISjoYzCkLQ/default.jpg)
![Bitcoin Algo Trading and Market Making Seminar 22 Mar 2017](https://i.ytimg.com/vi/Dm65PAbkQUw/default.jpg)
![](https://i.ytimg.com/vi/3Ml3OwS0ryM/default.jpg)
![20 Habits of Wealthy Traders](https://i.ytimg.com/vi/el10dgDa2Do/default.jpg)
![Market Making As A Profitable Strategy](https://i.ytimg.com/vi/PMqqHmqksjw/default.jpg)
![An illustration of Black Scholes’ Delta Hedging](https://i.ytimg.com/vi/oVdFPxsfGbU/default.jpg)
![HOW MARKET MAKERS WORK | GAMMA FLIP EXPLAINED](https://i.ytimg.com/vi/vVQyXpn8SJE/default.jpg)
![SpotGamma Equity Hub™](https://i.ytimg.com/vi/yJF6sOZ0xbI/default.jpg)
![Dynamic option delta hedge (FRM T4-14)](https://i.ytimg.com/vi/N7kOPxvRbRI/default.jpg)
![Options Pricing & The Greeks - Options Mechanics - Option Pricing](https://i.ytimg.com/vi/kCJcEOYuuII/default.jpg)
![Akuna Capital options market-maker simulator](https://i.ytimg.com/vi/CQyqhhUI9eM/default.jpg)
![Secrets of a Market Maker No One Else Will Share...](https://i.ytimg.com/vi/A83XYJJ9uHY/default.jpg)
![Building a market making strategy using Hummingbot - Part 1](https://i.ytimg.com/vi/CtbyvZ1J-xU/default.jpg)
![What are 'market makers'? - MoneyWeek Investment Tutorials](https://i.ytimg.com/vi/QqK6H1JPjv0/default.jpg)
![Confessions of a Market Maker epidsode #2: Order Flow](https://i.ytimg.com/vi/LnOZRQ6XzDg/default.jpg)
![Option gamma (FRM T4-15)](https://i.ytimg.com/vi/SX4DaQf9ezU/default.jpg)
![Market Making in crypto markets explained](https://i.ytimg.com/vi/hFZ8b6JYFUA/default.jpg)
![](https://i.ytimg.com/vi/DhnBKvr6B58/default.jpg)