Something to Leave you With

Discussion in 'Strategy Building' started by Spectre2007, Mar 22, 2017.

  1. i960

    i960

    How is this is not just simply delta hedging which everyone and their dog already knows about?
     
    #21     Mar 23, 2017
    JackRab likes this.
  2. JackRab

    JackRab

    It is.. that's what I've been aiming to get at as well... nothing new there at all. And no 'infrastructure' needed...
     
    #22     Mar 23, 2017

  3. http://www.surlytrader.com/delta-hedging-explained/

    Rebalancing at the end of the day ends up costing more or less profit from the hedge than actively rebalancing minute to minute around the strike price. That's the gist...and why infrastructure helps.
     
    #23     Mar 23, 2017
  4. JackRab

    JackRab

    The way you hedge your delta's isn't fixed to at the closing... usually it's done throughout the day... pros, HF and MMs hedge continuously.

    It depends on the risk parameters, market conditions, your own view... maybe some TA.

    Gamma short trading is always the same, at one point you hedge your delta exposure... whether every minute (= overtrading it a bit IMO) or end of day (= undertrading IMO).

    It's still the same thing though.
     
    #24     Mar 23, 2017
    i960 likes this.
  5. #25     Mar 23, 2017
  6. i960

    i960

    This isn't rocket science and isn't even about infrastructure. It's entirely about cost structure.

    If it were costless to do this then there would be no edge as everyone would be doing it continuously.

    Fact of the matter is that this is simply delta hedging and nothing new. Frequency is irrelevant.
     
    #26     Mar 24, 2017
    JackRab likes this.
  7. bump
     
    #27     Nov 6, 2019