Recent content by Oscard

Thanks for your reply , i follow, but what do you mean with " vega will come back through the theta eventually" in this case

Please clarify these condition so i can understand your reason for your portfolio to be long gamma? and what kind of option strategies would you use and how do you want your other aggregate portfolio greeks to look like? Many questions :) My view is that the market is still going south until...

true- i have natenberg, i have cox/Rubinstein, hull,taleb etc but it doesn't really discuss this at all. I assume investment bank research could could be one source but tricky to get hold of. Hence i have to learn the hard way through my portfolio PnL

thanks for your comment GammaJammer - do you know any books, papers, and guides that discuss how to manage an option book?

Well... it is not really that i try to aim for gamma neutral strategy - it just fell good to have the portfolio with a smaller gamma - kind of feels good that market moves doesn't change my delta to much as it already is pretty high in absolute terms

running your option book by your greeks is how its is done...

I am running an index options book with risk reversal (SPX, rolling 3 months) with long puts and short calls both with 10% OTM. I delta hedge this by futures. My market view is negative because of apparent macro economic circumstances and basically making money from selling calls and as imp...