Delta-Gamma Neutral Self Financing

Discussion in 'Options' started by eagertolearn, May 12, 2007.

  1. That's what I thought , thanks Atty
     
    #21     May 13, 2007
  2. The only position(s) which satisfy the OP requirement are what Profitaker alluded to: conversions, boxes or rolls. Long the box at a large discount to the strike-differential over carry can solve for 500bp in vol-edge. Approximately $.40 on a 5-strike, 30d box and $.12 on a conversion, net of carry. Large premiums on short box/rolls. The only positions flat greeks along the distribution, excluding rho.
     
    #22     May 13, 2007
  3. #23     May 15, 2007