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Quantitative Finance · Begrippenlijst

Wat is Strike risk limit?

Definition 19.3 Market Making and High-Frequency Trading · Hoofdstuk 19 — Automated Options Market Making

A strike risk limit is a market maker’s cap on the exposure (vega, gamma, or contracts) it will accumulate in one strike or one expiry of a chain; when a fill breaches it, the market maker cancels or widens its quotes in that strike or expiry until the exposure is reduced.

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