If you have a delta-hedged position and you’re short gamma, why are spot price movements bad?
I simply can’t wrap my head around the concept of Gamma. I’ve read multiple sites and explanations and for some reason can’t wrap my head around the logic, so I feel that it’ll really help for me to explain my understanding and have someone point out where I’m incorrect/flawed. Apologies for the elementary question.
If I have a delta-hedged position (so delta = 0) and I’m short options, this means I’m short (negative) gamma, from what I’ve read. Now, my thoughts are that if the spot price increases, this implies that my delta is now negative, which means that as the spot price increases, the option price is decreasing. If I’ve sold this option, why isn’t this fall in price good for me?
我知道我錯了，我只是不明白 $ why $ 或者我要去哪裡錯了。任何幫助或指出我的錯誤將不勝感激。謝謝
僅僅因為您的頭寸 delta 為負並不意味著當現貨增加時期權價格正在下降。
假設您是空頭看漲期權和多頭期貨。市場上漲，因此看漲期權價格上漲。但是由於您在看漲期權中持有空頭頭寸，因此您會賠錢。由於看漲期權有一個正的 gamma，它會（越來越多地）賠錢，而不是恆定的長期期貨頭寸賺錢。