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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.
46:33
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Quick takeaways
- Rob Navin discusses how the gamma capture method provides a more accurate measure of realized volatility by focusing on trade execution rates.
- The podcast emphasizes the importance of understanding market dynamics through nuanced volatility assessments for effective trading strategies.
Deep dives
Introduction to Real-Time Risk Systems
Real-Time Risk Systems specializes in providing real-time derivatives analytics for large hedge funds. The company, which has been operating since 2004, addresses the complexities of building models for various derivative instruments, including equities, rates, and options. It combines real-time analytics with development capabilities to cater to the needs of multi-strategy hedge funds, which face challenges in balancing these elements. This unique approach has enabled the firm to secure funding from major hedge funds and establish a reputation in a competitive financial landscape.
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Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode