Search results

If I eliminate the gamma below 2400 and above 3200 I get a 3rd Gamma Neutral around 3185, but I still have two others between 2750 and 2755, and between 2900 and 2905. Did I eliminate too much or not enough?

I am in Europe. If you are happy with the Delta number I will pal with the gamma calculation and try and see why I was so off today and dead on the number on the 7th. I still think it gets very ugly with 2 days to go till expiration.

Hi Jorge, Let me know if this makes sense. FIrst, I am getting TWO gamma numbers. The gamma numbers were much different than the 7th since expiration is only 2 days away. For Gamma I get: 2,751.3 and 2,901.3 For Delta I get: 2,827.3 How did I do?

I don't know. You need to send me a couple more without telling me the answer, but you know it, and let me see what I get.

I got the "gamma neutral," just not sure why the "delta neutral" number doesn't line up exactly.

The closest I can come on the delta side of the problem is 2828. If you want to send me another day's data, WITHOUT telling me the answer, let me see what I come up with.

I am getting 2825 for the delta number, but I may have something slightly off.

Ok, I think I have solved the Gamma piece. Need to work on the Delta side now.

Ok, I will play with this later, and see if it makes sense.

I am not clear how much your excel sheets line up with your PDF. Your PDF gives numbers for April 7th. Your paragraph says 7th. The excel sheet says April 11th. A lot changes daily, especially from the April 7th to the April 11th of the this year. On the April 11th excel sheet I come up...

Hi Jorge, as a former market maker I am always up for a good options problem, and I would be happy to take a stab at this once you clarify your question. I downloaded it when you first posted it and like David wasn't really sure what you are asking. I am on a mandatory lockdown all weekend...

That really doesn't make sense from a business point of view. They routinely allow people to take Parts 1 and 2 on the same day knowing that if they don't clear Part 1 then Part 2 will not be graded. Why not allow someone to take Part 1 in October and Part 2 in November, before they have their...

It will be interesting to see of they let people take L1 in October and L2 in November under the condition that the L2 will not be graded if they do not pass the L1. That's the same as they do for people taking them both the same day. I hope CFA also moves the exam to the fall and does not...

Long Put+Short Call= Short Stock You must get comfortable with the different synthetic combinations! I norrmally like to draw little graphs, but I am not that good with them on Excel. Closing Price on x-axis, value of option on y-axis. Do calls, do puts, long and short, then start combining...

Work through the BT questions. The exam will seem like a walk in the park. The BT questions make you really think, but once you understand them you really understand the subject.

Just got the email that the June exams will be postponed. Sounds like worst case they will offer all three levels in December. I hope it is sooner than that. Strange days indeed.

I can see the exam being cancelled in certain cities, but not completely, however I am not a doctor.

That makes sense. I am going to rewatch the video. David does 2 examples. In the first one he uses Continuous Compounding and Goal Seek to find the YTM. He doesn't use teh calculator until the second example. I need to see if he changed to semi-annual compounding on the Excel in that one...

Sounds like you didn't give them enough information and you are getting a second bite of the apple to amend and send more. But call GARP and ask them. Better than a rejection.

I am using continuous. =103*EXP(-2*6.80%) My numbers are the same as in the BT video.