Episode #74: Sergei Perfiliev- Goldman Sachs Quant on Options Influence on the market
Confessions Of A Market Maker
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The Dynamics of the Market
The dealers who are short these puts, again they need to delta hedge. If the market went down usually volatility rises. The deltas will become lower for these already in the money, newly in the money puts. And as a result the dealers will need to buy back some of their hedges. So this usually means that we don't necessarily we shouldn't see big, big market crashes but we should see something more of a corrections where the index goes down and then it snaps back up quite rapidly.
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