Search results

--------------- Many thanks, Tom

------------------------------------------------------------------------------------------ Hi Tom, many thanks for that. Could you spell out the short gamma alarm in a bit more detail.

Hi Tom, many thanks for that. Could you spell out the short gamma alarm in a bit more detail.

Don't know about eTrade but Interactive Brokers (IB) has a pretty decent api in C# as well as Python which you can use to pull out prices/vols. I normally calculate the greeks myself using the vol surface.

One way is to put on an OTM hedge which (say) halves delta when you're down and try to exit on a pop/drop. Best to backtest before trying...