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BLOBY
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Posts: 113
Joined: May 17th, 2004, 5:07 am

Monetizing gamma

May 25th, 2005, 6:30 am

Hello, I would like to know if it's a good way to buy a convertible bond, and instead of shorting equity, selling a call, in order to monetize gamma ??
 
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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Monetizing gamma

May 26th, 2005, 6:28 am

If you don't understand my issue, consider a long position on iTraxx equity tranch delta hedged : is it a good way to sell iTraxx options for gamma monetizing ?
 
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zrj
Posts: 48
Joined: December 29th, 2003, 3:59 pm

Monetizing gamma

May 30th, 2005, 11:41 am

is there any kind of relation between ur 2 questions?
 
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BLOBY
Topic Author
Posts: 113
Joined: May 17th, 2004, 5:07 am

Monetizing gamma

May 30th, 2005, 1:27 pm

no, there's no relation. On credit basket products, I try to capture credit volatility, with alternative strategies ( do not use standard delta hedged packages...).
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