15 lines
848 B
Plaintext
15 lines
848 B
Plaintext
Day Two
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The next day, the market is a bit quieter. There is a $0.40 drop in the price
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of the stock, at which point the position delta is short 1.12. Harry buys 112
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shares at $39.60 to get delta neutral.
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Following Harry’s purchase, the stock slowly drifts back up and is trading
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at $40 near the close. Harry decides to cover his deltas and sell 112 shares
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at $40. It is common to cover all deltas at the end of the day to get back to
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being delta neutral. Remember, the goal of gamma scalping is to trade
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volatility, not direction. Starting the next trading day with a delta, either
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positive or negative, means an often unwanted directional bias and
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unwanted directional risk. Tidying up deltas at the end of the day to get
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neutral is called going home flat.
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Today was not a banner day. Harry did not quite have the opportunity to
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cover the decay.
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