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Quantitative Finance · शब्दावली

Gamma exposure estimate क्या है?

Definition 6.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · अध्याय 6 — Zero-Day Options and Dealer-Gamma Flows

A gamma exposure estimate is the dealers’ total gamma computed from open interest by strike and an assumption about which side dealers hold, usually that they are long the calls customers sell and short the puts customers buy: ∑K(call OIK−put OIK) ΓK\sum_K (\text{call OI}_K - \text{put OI}_K)\,\Gamma_K under that convention.

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