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mapleleafs
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Posts: 405
Joined: August 24th, 2005, 2:13 pm

Gamma and Delta Limit

June 8th, 2009, 4:54 am

most traders (options, swaps) have gamma and delta limit to control their trading activities?how does it work?
 
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pcg
Posts: 194
Joined: September 13th, 2004, 11:11 am

Gamma and Delta Limit

June 8th, 2009, 7:41 am

for swaps you can have delta (pvbp) limits but not for options . Options is typically vega and a stress matrix .
 
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jomni
Posts: 999
Joined: January 26th, 2005, 11:36 pm

Gamma and Delta Limit

June 8th, 2009, 8:20 am

QuoteOriginally posted by: mapleleafsmost traders (options, swaps) have gamma and delta limit to control their trading activities?how does it work?Just like any other limit. If the measure breaches the threshold, then he has to reduce his position.
Last edited by jomni on June 7th, 2009, 10:00 pm, edited 1 time in total.
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