When I tried dynamic delta hedging with selling Call options I got these (unsatisfactory) results: 1) One makes a profit only if Sx < S0. Sx = S0...
Public call for developing a system When selling options one gets a credit upfront. The credit is the premium of the option. But one can not say...
My latest research results with selling Call options with basic dynamic delta hedging: 1) One makes a profit only if Sx < S0. Sx=S0 means...
I have the book of Hull, many papers and of course also the web. For long options that was sufficient. Shorting options with hedging are...
Ok, that's also what I was thinking... As said: I've experience with long options only. Options selling is new for me... From your experience: is...
Is it a bad idea to sell calls at K=90 when S=100 ? If at expiration S=90, would then one need to pay for the stock 90 or 110? I think 90, but the...
Gamma-scalping or considering gamma in dynamic delta hedging seems to make sense only for ATM options. ...say some here:...
So, there is much more to it, right? :D Too bad, I like simplicity.... KISS!
Ok, here is some more info about Gamma, this time from the said other paper: http://faculty.baruch.cuny.edu/lwu/9797/EMSFLec5BSmodel.pdf " Gamma...
Never underestimate botpro! botpro can master them all, it's not rocket science, man! At least not for botpro... :D Btw, have I told you already?...
I think in the above paper also Gamma hedging was explained... I'll take another look at it...
Hey cvds16, FYI: nobody questions that MMs are hedging (or trying to :D), but it is not only them who hedge...
It won't be any "truer" if you repeat it endlessly... :D
That I can't believe! Because there are also many other options sellers who as well do hedging, but who are not any MMs...
From the famous article that was recently posted here or in an other of the options threads:...
So, the next still unresolved question here is this one: Is Gamma absolutely needed for dynamic delta hedging, or does it work also without Gamma?...
But you made it wrong twice in different postings... I don't think it was just a typo... So, you are no wiser than me, man! Welcome on board!...
Oh, boyz, come on, which one of the tables is the correct one? I'm now totally confused... :(
Thanks for the corrections! This can explain some of the confusions I had!... :D
FYI: you at least twice wrote it wrong: it is "Nobel", not "Noble" :D Here's the other posting of you where you have it wrong as well:
Separate names with a comma.