HiHow does this work in the context of having high deltas and gammas?rgdsIngo

Not sure what you mean by thatBending the barrier is generally a risk management/pricing technique that works as follows.Suppose you sell a 100 binary call on a stock whose forward is 100When you book the trade you put the trade on against the customer at 100 strike.Then you also have a barrier bender book. This book gives you back the customer trade at 100 but then buys one back from you with say 99.80 strike.Hence at expiry your book has a 99.80 strike (the 100 strikes net out) and the bb book has a net gain if at the expiry the stock is between 99.80 and 100Now when you look at your risk you dont include the bb book and the idea is that the barrier bending book will, if you do sufficient numbers of trades realise the expected value of all the trades that have been placed there but without you having had to deal with the massive deltas that take place at the actual binary with the customer/street.