b**********5
发帖数: 51 | 1 业界是如何实现 Gamma Trading 和 Vega Trading 的啊？什么时候该 Trade Gamma 和
什么时候
Trade Vega ？头寸建立后，trader 每天要做些什么？例如要不要每天 adjust 头寸和
算 Greeks
之类的？想了解一下业界是如何做的。谢谢。 |
t**********a
发帖数: 166 | |
d******u
发帖数: 142 | |
s********7
发帖数: 52 | 4 Very good question
First of all, vega and gamma are completely 2 different things. why? Notice
that gamma is a market risk parameter while vega measures model risk. Put in
other words, when market(stock price) moves around, convexity(gamma) can be
captured by the realized volatility. when the implied vol(BlackSholes model
input) fluctuates, vega is realized.
Second of all, consider an option that's close to ATM but not exactly( what
the case will be at most of the time)
vega grows larger as time |
EM
发帖数: 715 | 5 good thoughts. but I think gamma belongs to the model risk since 0.5*gamma*
imp_vol^2*dt is almost equivalent to the theta decay |
T*******t
发帖数: 9274 | 6 一般来说，奇数阶导数都对头寸有贡献
偶数阶导数决定你赚不赚钱。
Trader要做的就是给定头寸，maximize赚钱的可能。
【在 b**********5 的大作中提到】
: 业界是如何实现 Gamma Trading 和 Vega Trading 的啊？什么时候该 Trade Gamma 和
: 什么时候
: Trade Vega ？头寸建立后，trader 每天要做些什么？例如要不要每天 adjust 头寸和
: 算 Greeks
: 之类的？想了解一下业界是如何做的。谢谢。
|
t**********a
发帖数: 166 | 7 Gosh, just google find out 头寸=position, really weird translation...
i think it all depends on views and the deal flow.
If the deal flow is good, traders probably don't want to take extra
positions, and would try to neutral vega, gamma, etc.
If the deal flow is not so good, and he has to make some extra money, he
will take view on implied vol and realized vol at different part of curves (
for FI), and maybe directly on delta. |
z****i
发帖数: 406 | 8 Your ID fits the topic so well. :)
(
【在 t**********a 的大作中提到】
: Gosh, just google find out 头寸=position, really weird translation...
: i think it all depends on views and the deal flow.
: If the deal flow is good, traders probably don't want to take extra
: positions, and would try to neutral vega, gamma, etc.
: If the deal flow is not so good, and he has to make some extra money, he
: will take view on implied vol and realized vol at different part of curves (
: for FI), and maybe directly on delta.
|
b**********5
发帖数: 51 | 9
Why 0.5*gamma*imp_vol^2*dt is almost equivalent to the theta decay? Any
further
explanation or reference recommended? Thanks for your reply.
【在 EM 的大作中提到】
: good thoughts. but I think gamma belongs to the model risk since 0.5*gamma*
: imp_vol^2*dt is almost equivalent to the theta decay
|
b**********5
发帖数: 51 | 10
谢谢您的回帖。请问您可不可以详细给我解释“一般来说，奇数阶导数都对头寸有贡献
，偶数阶
导数决定你赚不赚钱。”如果您有时间，可否给我举一例子。谢谢。
【在 T*******t 的大作中提到】
: 一般来说，奇数阶导数都对头寸有贡献
: 偶数阶导数决定你赚不赚钱。
: Trader要做的就是给定头寸，maximize赚钱的可能。
|
|
|
b**********5
发帖数: 51 | 11
(
deal flow 中文意思是“交易流程”，我该如何理解这个术语呢？而且何谓 deal flow
is good,
or not good? Any criteria?
If a trader will take view on implied vol and realized vol at different part
of
curves (for FI), what should he do in reality? Could you please clarify it
also?
Thanks for your reply.
【在 t**********a 的大作中提到】
: Gosh, just google find out 头寸=position, really weird translation...
: i think it all depends on views and the deal flow.
: If the deal flow is good, traders probably don't want to take extra
: positions, and would try to neutral vega, gamma, etc.
: If the deal flow is not so good, and he has to make some extra money, he
: will take view on implied vol and realized vol at different part of curves (
: for FI), and maybe directly on delta.
|
EM
发帖数: 715 | 12 If you write out the future-version of black scholes merton equation, it
would tell you the relationship between gamma and theta term, with some
other terms related to different hedging strategies
【在 b**********5 的大作中提到】
:
: (
: deal flow 中文意思是“交易流程”，我该如何理解这个术语呢？而且何谓 deal flow
: is good,
: or not good? Any criteria?
: If a trader will take view on implied vol and realized vol at different part
: of
: curves (for FI), what should he do in reality? Could you please clarify it
: also?
: Thanks for your reply.
|
q*******k
发帖数: 1103 | 13 i think you are referring to buying gamma or buying vega in a trade.
【在 b**********5 的大作中提到】
: 业界是如何实现 Gamma Trading 和 Vega Trading 的啊？什么时候该 Trade Gamma 和
: 什么时候
: Trade Vega ？头寸建立后，trader 每天要做些什么？例如要不要每天 adjust 头寸和
: 算 Greeks
: 之类的？想了解一下业界是如何做的。谢谢。
|
b**********5
发帖数: 51 | 14 If you are long the short-dated delta neutral options, you are betting the
gamma, because the price of the option will be more affected by the change
of the underlying than the change of the implied volatility. On the other
hand, if you are long the long-dated delta neutral options, you are betting
the vega, because the price of the option will be more affected by the
change of the implied volatility than the change of the underlying. Is this
true and the only difference between them? Welcome di |
p*******t
发帖数: 213 | 15 用black scholes formula 推导一下，要让pv unchanged, you need theta impact
and gamma impact neutralized in delta neutral portfolio.
【在 EM 的大作中提到】
: good thoughts. but I think gamma belongs to the model risk since 0.5*gamma*
: imp_vol^2*dt is almost equivalent to the theta decay
|
