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Self-Taught Quant (guest: Harel Jacobson)

The Market Huddle

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The Volatility Gamma Theta Triangle

There is a very nice triangle between volatility, theta, and gamma. When we have a lot of gamma, that means that you don't need to have a significant move to make money,. but you lose money, depends on your position. And when you have a high theta, it means that you get compensated or you pay a lot of money for holding the options.

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