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Gamma and Delta Limit

Posted: June 8th, 2009, 4:54 am
by mapleleafs
most traders (options, swaps) have gamma and delta limit to control their trading activities?how does it work?

Gamma and Delta Limit

Posted: June 8th, 2009, 7:41 am
by pcg
for swaps you can have delta (pvbp) limits but not for options . Options is typically vega and a stress matrix .

Gamma and Delta Limit

Posted: June 8th, 2009, 8:20 am
by jomni
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.