ML Engineer MasterClass (April) | 6 seats left

Greeks and Sensitivity Analysis

Greeks and Sensitivity Analysis

Greeks and Sensitivity Analysis

On August 24, 2015, the S&P 500 dropped 5% at the open. Options market makers who were short Gamma on large books watched their Delta hedges become instantly useless as the underlying moved faster than they could rebalance. Some desks lost more in that single morning than in the previous quarter combined.

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