Options Portfolios: Gamma and Volatility Effects
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Options Portfolios: Gamma and Volatility Effects

Intuition Publishing
Updated Sep 24, 2020

For options traders, knowing how much rebalancing is required at different levels in the market is essential. The gamma and theta exposures can change dramatically depending on the time to expiry and the moneyness of an option. We consider hedging strategies to account for volatility and gamma effects, and discuss the effect of the real world markets on options models with unrealistic underlying assumptions.