How HFT’s & Market makers neutralise their gamma on expiry day to hedge their delta by adding or shorting shares in index futures??
Is there any way to completely neutralise delta & gamma and get positive theta ??
How HFT’s & Market makers neutralise their gamma on expiry day to hedge their delta by adding or shorting shares in index futures??
Is there any way to completely neutralise delta & gamma and get positive theta ??
Sorry about the delay. I have not done much HFT in my life, so I was asking my HFT friends about this. Here is the rundown of what I learned
To answer your last question:
In practise, it is difficult to not have gamma and get positive Theta. Even if you try to do this, you will still be carrying a Vega Risk. This is a purely theoretical thing, not sure how useful it is or what the realworld applications are
Non directional fixed loss strategies like iron condor and iron fly are delta/gamma neutral with positive theta (only if the price is in the profitable range)
Can you elaborate what exactly are you looking for?
Thanks Abid sir for sharing how HFT’s works…
Can you ask your HFT friends to elaborate more on how they buy low & sell high in seconds even when they are constantly short & long too ??