金融工程家坛 long gamma=long vol, short gamma=short vol,vomma is 2nd d

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金融工程家坛 » 技术版块 » 怎么没有人开一个结构性产品对冲策略的专题？Quanta 发表于 2009-7-29 09:46 AM

另外，通常书本上会讲 "trading gamma"这个概念...
能否理解：long gamma=long vol, short gamma=short vol？
“vomma is 2nd derivative of vol”
- 我见到的这个叫法是" volga"
irvingy 发表于 2009-7-29 08:07 PM

[i=s] 本帖最后由 irvingy 于 2009-7-29 08:57 PM 编辑 [/i]

[quote]另外，通常书本上会讲 "trading gamma"这个概念...
能否理解：long gamma=long vol, short gamma=short vol？
[size=2][color=#999999]Quanta 发表于 2009-7-29 09:46 AM[/color] [url=http://quanthr.com/bbs/redirect.php?goto=findpost&pid=16656&ptid=2041][img]http://quanthr.com/bbs/images/common/back.gif[/img][/url][/size][/quote]

This is true only for a portfolio of European options of the same time to maturity with a flat vol curve.

[quote]“vomma is 2nd derivative of vol”
- 我见到的这个叫法是" volga"
[/quote]
same thing
Stochastics 发表于 2009-7-29 11:17 PM

Quanta I agree with you and thanks for correcting me at the two places.
And irvingy is right too, volga = vomma. To borrow Shakespeare, "A rose of different name smells as sweet". :-)

While most of the time long vol position is associated with short gamma, as irvingy pointed out, it is not always the case.
Quanta 发表于 2009-7-30 09:07 AM

Stochastics and irvingy, 我还是不太理解long/short Gamma和long/short Vol之间的关系，能否举个例子说明工业界交易员是如何看待这个两个指标，如何通过这两个指标make money的？谢谢！
irvingy 发表于 2009-7-30 01:27 PM

single maturity single strike option，long gamma = long vega，你bet on the difference between (forecasted) realized vol and implied vol

Euan Sinclair的Volatility Trading和PWOQF Ch 47, 48
abiao 发表于 2009-7-30 04:12 PM

摘取了以前一门课的讲义部分，trader's view on BS，里面1.2就是讲的long gamma和P&L的关系。
Stochastics 发表于 2009-7-30 11:32 PM

to put it simply, you bet your gamma against vol, the latter is reflected through daily loss of theta till maturity. More specifically suppose you long gamma. For the days the spot is near the money and/or the daily move is high what you gain from gamma will more than offset your loss in theta and you make money. Otherwise you lose. Your total pnl is your accumulated gain/loss.

The similar relationship occurs to correlation and cross gamma.
Quanta 发表于 2009-7-31 09:20 AM

to [b]irvingy[/b], long gamma = long vega 不理解什么意思...
to [b]Stochastics[/b], 我知道p&l equation。如果long gamma并且realized vol大于implied vol, 或者short gamma并且realized vol小于implied vol，理想情况下，你在delta hedge后会make money...
我现在听到的术语有"long/short delta", "long/short gamma", "long/short vol","long/short vega". 脑子开始有点乱了...你方便的话帮我解释下这些术语的确切含义，实际交易台是怎么看待的这些指标的？谢谢！
另外你还提到“correlation and cross gamma”...也不明白其中的奥妙...
irvingy 发表于 2009-8-2 02:46 AM

[quote]to irvingy, long gamma = long vega 不理解什么意思...
[size=2][color=#999999]Quanta 发表于 2009-7-31 09:20 AM[/color] [url=http://quanthr.com/bbs/redirect.php?goto=findpost&pid=16697&ptid=2041][img]http://quanthr.com/bbs/images/common/back.gif[/img][/url][/size][/quote]
vega = sigma * T * S^2 * gamma
所以你long gamma和long vega是一样的
intuitively, you are long gamma ->you bet underlying will move so you can buy low sell high, i.e. gamma scalping -> if you like the underlying to move, it's equivalent to say you like volatility -> you are long vega
Quanta 发表于 2009-8-5 05:40 PM

to irvingy, 我不太理解你所说
abiao 发表于 2009-8-5 06:29 PM

Most traders use the net gamma value of their position to represent the number of underlying deltas or contracts that will be generated from a 1-percent move5 in the underlying price. For example, a trader owns 100 calls each with a positive 8.0 gamma for a total gamma of 8 (.08 x 1oo shares per options contract). Positive 8 means that if the underlying moves 1 point from 100 up to 101, the trader’s net delta position (for each call) will move from +51 to a new delta of +59 at 101. If the market declines to 99, the net call delta of the position will be +43. In this context, the trader takes advantage of selling out the long deltas manufactured on the way up and buying in the shorts manufactured on
the way down for a small profit on each trade.
vigorouszhang 发表于 2010-1-14 07:15 PM

既然long gamma = long vega，那为什么不是gamma越大，implied volatility越大呢？
abiao 发表于 2010-1-14 08:44 PM

[quote]既然long gamma = long vega，那为什么不是gamma越大，implied volatility越大呢？
[size=2][color=#999999]vigorouszhang 发表于 2010-1-14 07:15 PM[/color] [url=http://quanthr.com/bbs/redirect.php?goto=findpost&pid=19729&ptid=2041][img]http://quanthr.com/bbs/images/common/back.gif[/img][/url][/size][/quote]

没人说过vega大，impv就大。
cochrane 发表于 2010-1-24 07:57 AM

我们这边分工很细，大概流程是这样的:

F G
^ ^
| |
v v
A B C D
^
|
v
E

A:IR swap desk (receive float, pay zero upfront)
B:Funding (treasury)
C:Structured desk (here, product packing)
D:Equity derivative desk (receive option premium)
E:Client (pay notional)
F:Client (borrow money)
G:Secondary market (structured product trading)
rockall 发表于 2010-2-25 11:49 AM

你们没有repo desk?

[quote]我们这边分工很细，大概流程是这样的:

F G
^ ^
| |
v v
A B C D
^
|
...
[size=2][color=#999999]cochrane 发表于 2010-1-24 07:57 AM[/color] [url=http://quanthr.com/bbs/redirect.php?goto=findpost&pid=19778&ptid=2041][img]http://quanthr.com/bbs/images/common/back.gif[/img][/url][/size][/quote]
xun 发表于 2010-6-27 10:21 AM

这个帖子很好啊，顶了再研究


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