I run into some issues in gamma scalping. For position with days to exp < 14 there is a big diff in gamma adjustments over a weekend. While given position(long combo) was totally balanced as of Friday , its triggered a big gamma adjustment on Monday open( obviously without change in spot or vols). Any solutions ? I know you are not posting a lot/anymore , so TIA for any help.
Gamma grows exponentially into expiration. Most software out there does a good job of giving you accurate gamma exposure going forward. I'm not sure what your question is.
that's exactly what I was looking for : future gamma exposure. I use my own staff and I can smooth the gamma calcs (even hour by hour if needed) . IOW , I can make : Friday close = Monday open. But when should I start doing it ? Tuesday , Wednesday ? Thanks for reply , Mav
Sorry to add .02 when not asked. For what it is worth, most traders I know run mondays date starting a couple hours after the Friday open.
probably , and that's what I want be able to do ( Fri close=Mon open). But you cannot do it as a onetimer , I have to reduce gradually over last (one , two ?) days
Mav , its just what you said before : your SW provider is already dealing with this issue , but I am not. If one using larger hedge interval when rebalansing delta , this issue is probably not so visible/important , but I use small interval.
you might want to look at where your gamma is coming from. if way away from strike, i would take down earlier, if close to strike i may tend to wait a little longer.
exactly , sometimes I have mixed strikes on one side , and OTM gamma collapsing much faster than ATM with days<14, That's what is starting all this mess in the first place