The Quant / Financial Engineering Podcast Gamma Capture
Nov 5, 2024
Join Rob Navin, founder of Real Time Risk Systems and expert in options strategies, alongside Estifanos Shekour, a Lehigh MFE student focused on option design. They discuss a groundbreaking method for estimating realized volatility through P&L from constant gamma positions. The conversation highlights the challenges of measuring market volatility, the advantages of dynamic hedging strategies, and the evolution of algorithmic trading. Delve into their insights on intraday trading, the significance of gamma capture, and innovative approaches to enhancing volatility analysis.
Chapters
Transcript
Episode notes
1 2 3 4 5 6
Intro
00:00 • 5min
Examining Market Volatility and the Challenge of Jumps
05:01 • 3min
Dynamic Hedging and Market Volatility
08:29 • 3min
Understanding Gamma Capture Volatility in Stochastic Mathematics
11:21 • 2min
Analyzing Intraday Volatility and Trading Strategies
13:46 • 27min
The Evolution of Algorithmic Trading Strategies
40:43 • 6min