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And then the options expire, MMs unwind their hedges and gamma comes back down. There’s no infinite gamma trick
by quickthrowman 6y ago
And then the options expire, MMs unwind their hedges and gamma comes back down. There’s no infinite gamma trick
- AndrewBissell 6y agoYes, obviously the reflexivity does not proceed ad infinitum, but these dynamics are often responsible for extremely violent moves in the short term. The effects can be even more pronounced right before expiration. http://m.koreatimes.co.kr/pages/article.amp.asp?newsIdx=77682 http://m.koreatimes.co.kr/pages/article.amp.asp?newsIdx=7768...
- quickthrowman 6y agoIndeed, gamma squeezes can produce lots of volatility near OpEx. And call rolling can just push the gamma further out for another squeeze come the next OpEx.