Options Portfolio Hedging: Portfolio Rebalancing
Interactive

Options Portfolio Hedging: Portfolio Rebalancing

Intuition Publishing
Updated Sep 24, 2020

An options portfolio usually has to be regularly rebalanced as the underlying variables, such as price, volatility and time, change. We compare the impact of gamma on a portfolio with, and without, rebalancing, and look at the market conditions that determine the amount of rebalancing traders should undertake.