Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Gamma flip level?

Definition 6.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 6 — Zero-Day Options and Dealer-Gamma Flows

The gamma flip level is the index level at which an estimate of the dealers’ total gamma changes sign: above it dealers are estimated long gamma, below it short.

The dealers’ true total gamma at the open against the conventional estimate from open interest (dealers long every call, short every put), first 400 of the 2 000 synthetic days, in the model’s units. Points in the upper-left and lower-right quadrants are days whose sign the estimate gets wrong: 44% of all days. Data: s2_gammaflow.days.
Figure 6.1. The dealers’ true total gamma at the open against the conventional estimate from open interest (dealers long every call, short every put), first 400 of the 2 000 synthetic days, in the model’s units. Points in the upper-left and lower-right quadrants are days whose sign the estimate gets wrong: 44% of all days. Data: s2_gammaflow.days.
Ler no capítulo →