Something to Leave you With
- Thread starter Spectre2007
- Start date
It is.. that's what I've been aiming to get at as well... nothing new there at all. And no 'infrastructure' needed...
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.
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.
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.
https://financetrainingcourse.com/e...rho-rebalancing-frequency-implied-volatility/
Frequency of rebalancing.
Much easier for algo to actively rebalance than manually rebalancing minute to minute.
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.
bump