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Risk Managing Short Dated Options
Hello All,I am looking for a risk management approach for short dated options, something to compensate the weaknesses in VaR - most likely a reserving methodology.Does anyone have any views / experience they wish to share?Thanks
Risk Managing Short Dated Options
I'm not a VaR fan, so I'll give you a couple of other practical suggestions. For starts, expiring options can be very high gamma and thus a bit of a crap shoot, so for starts make sure your valuation algorithms can handle time increments less than one day. Legacy systems sometimes cannot do this and only return intrinsic values on expiry days. Second, be mindful of maturity and strike concentrations, use suitable reports and a limit structure to inform about and control these.
Risk Managing Short Dated Options
I would add to DavidJN's comments - move your short-dated options out of the main book (even if just mentally) ...
knowledge comes, wisdom lingers
Risk Managing Short Dated Options
I like the sentiment, but what do you do with them?Is there anyway to act in a prudent manner to avoid "over recognising" profits and "under recognising" losses?QuoteOriginally posted by: daveangelI would add to DavidJN's comments - move your short-dated options out of the main book (even if just mentally) ...
Risk Managing Short Dated Options
QuoteOriginally posted by: RiskUserI like the sentiment, but what do you do with them?Is there anyway to act in a prudent manner to avoid "over recognising" profits and "under recognising" losses?QuoteOriginally posted by: daveangelI would add to DavidJN's comments - move your short-dated options out of the main book (even if just mentally) ...I think you should then manage them separately - give them to a directional trader rather than an options girl.
knowledge comes, wisdom lingers
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- pakhijain19
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Risk Managing Short Dated Options
Hello everyone, To get the risk management approach, firstly you must be understand about the risk that can occur according to that you should chose your approach.
Risk Managing Short Dated Options
QuoteOriginally posted by: pakhijain19Hello everyone, To get the risk management approach, firstly you must be understand about the risk that can occur according to that you should chose your approach.please stop spamming us.Admin can you do something about this poster ? thanks
knowledge comes, wisdom lingers