Exchanges

Sweep Account

April 21, 2022
Derivatives

Gross Processing Margin

April 23, 2022

Share

A portfolio of options (generally derivatives) which has an overall gamma of zero. This portfolio can be constructed by entering into positions with equal but opposite deltas. This helps to hedge against time price sensitivity of the second order (second-order greeks).

For a practical example, see gamma-netural portfolio: an example.

Leave a Reply

Related Tags

All Topics in the Letter