<t>People always say it is a negative gamma structure, because you buy high and sell low.But it is also known that the vanilla CCPI structure resembles a power option - which must by nature be long gamma?See for instance CPPI power option paper, esp. graph 4A.Does anyone have any thoughts on this? <...

<t>My reasoning behind using strike instead of spot: Imagine an asset manager that is long $10m of an index. He wishes to hedge the downside of this completely. If he wants to hedge this at the money, the number of options needed is $10m/spot, so the notional of the hedge is $10m. If however, he wan...

seems to me like the definition used for notional is different for different asset classes, e.g. notional=number of options x spot for equity but notional = number of options x strike for FX. Can anyone confirm ?