Recent content by XCoinr

I'm still figuring a lot of this stuff out, and I'm trading Bitcoin options. Something that was frustrating me is that there is a non-trivial gap between the theoretical delta and the actual delta. Even when I was supposed to be delta neutral, I had a clear directional bias in my portfolio...

I'm actually completely baffled right now. My current position has: Negative theta Neutral Vega Positive Gamma And yet I'm STILL losing money.

Good advice Mike, thanks :)

Just to add a little learning I've done today - I didn't realise that what I was talking about had a name: gamma scalping. And that the theta of the position is effectively the money you can expect to make gamma scalping in the case where implied vol equals realised vol. So, I'm a day older and...

If I have an aggregate position with a positive gamma, should I still be delta neutral? I feel like I'm giving up the positive benefits of being gamma positive because I'm killing my delta constantly.

Yes :) Thanks for the reply! But I still need the market data in the first place to fit the spline. I guess there's nothing but market forces and experience that dictates the exact shape of the curve. I don't have the experience yet to visualise the curve in abstraction, so maybe I'll stick to...

Quick bit of background. I'm adding a little options market making into my normal crypto derivatives trading, and I'm currently writing the software to help me do that effectively. One thing I'm missing is being able to effectively model the volatility smile in isolation. I can fit my curve to...