s****2
发帖数: 44 | 1 It is currently March. You sell $100mm of AT-THE-MONEY September expiry
calls, and to hedge them you immediately buy enough AT-THE-MONEY June expiry
calls to hedge your delta.
What are your greek risks: Long OR Short
(1)Gamma
(2)Vega
(3)Theta | c******s
发帖数: 90 | 2 Long Gamma.
Short Vega.
Short Theta.
expiry
【在 s****2 的大作中提到】
: It is currently March. You sell $100mm of AT-THE-MONEY September expiry
: calls, and to hedge them you immediately buy enough AT-THE-MONEY June expiry
: calls to hedge your delta.
: What are your greek risks: Long OR Short
: (1)Gamma
: (2)Vega
: (3)Theta
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