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gamma model

Feb 10 2020

Gamma Model Positioning Adjustments

Bar chart titled 50% Random ATM GAMMA by STRIKE showing yellow bars in billions versus strikes from 3000 to 4500.

Following a LinkedIn blog(?) by a Deutsche Bank fellow who took issue with market gamma models, I decided to run a few quick simulations to look at model error. Many gamma models assume all calls are sold to dealers and all puts are bought from dealers. Certainly this cannot be 100% true, but the back […]

Written by SpotGamma · Categorized: Market Analysis · Tagged: deutsche bank, gamma assumptions, gamma model

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