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Keeping it Simple on the Road | Ep. 3: 2020 From A Position of Strength

Keeping it Simple with Simplify Asset Management

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Dealer Gamma Positioning

The intra de vall is dwarfing the closhe clothes. The role of dealer gama becomes important when, effectively, the dealers models force them to chase the market. They become pro cyclical. And see a lot of this interday volatility. You see very quick reaction functions on the hedging where they are saying, you know, the delta hedge ratio on this option position can change from 20 % to 50 % in a matter of minutes. We absolutely see that as we approach expury.

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