Is Vanna relevant when Gamma scalping?

Discussion in 'Options' started by TskTsk, Jan 30, 2012.


  1. There's all sorts of other stuff... Why don't you experiment? Do your delta/gamma PNL explain and observe the residual. If the residual is too large for comfort, you've got a sensitivity to something else that needs accounting for. In my personal experience, you need exceedingly large positions to make the higher-order terms sufficiently significant to justify the effort.
     
    #11     Jan 30, 2012