1. Nicole Seaman

    YouTube T4-19: Hedging (aka, neutralizing) option delta and gamma

    To hedge options Greeks, we want to rely on the formula: +/- Quantity * %Greek = Position Greek, where a short position is represented by negative quantity. In this example, the market maker writes 10,000 ATM call options, each with percentage (per option) delta of 0.550 and gamma of 0.0440...