5 ms·
The concept of notional value is more complicated than that. Dealers don’t hedge the full notional value they hedge only enough to cover the delta and gamma on
by encoderer 6y ago
The concept of notional value is more complicated than that. Dealers don’t hedge the full notional value they hedge only enough to cover the delta and gamma on the option.
- mightytravels 6y agoTrue but at the current high implied volatility of the affected symbols the delta/ gamma has been high —> lots of hedging needed. Big loop.
- arcticbull 6y agoCorrect, but not 100:1 hedging.
- rocho 6y agoIn addition to that, they match orders in real-time, so they might not even need to hedge partially because they have offsetting positions coming in.