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Gamma Scalping 101 – Gamma/Theta Trading

TASA ID: 13992

This article was originally published on NavesinkInternational.com and in Albourne Village, village-us.albourne.com. 

OptionSellers, LJM, Catalyst are among the prominent fund managers currently facing litigation for large losses due to short gamma positions. Retail investors regularly lose their savings by shorting options as well. It is time to explain a few things about the short gamma and the “gamma scalping” strategies.

This article is split in two parts for convenience:

  • Gamma Scalping 101 – Gamma/Theta Trading, is this article. It explains the concept of gamma and theta, the daily P&L of an option market-maker, and the purpose of gamma scalping. It explains the difference of historical and implied volatilities, which are the long-term roots of profitability for the strategy, as well as why and how gamma-scalpers select the options to trade.

  • Gamma Scalping 102 – The undisclosed risks, will explain the not-so-obvious risks associated with the gamma-theta strategy: large losses and how frequent they are, the impacts of the gamma distribution and of volatility increases during large moves, the importance of institutional infrastructure, before concluding on its dangers.

Of Slopes and Flops – Navesink International

TASA ID: 13992

This article was originally published on NavesinkInternational.com and in Albourne Village, village-us.albourne.com

Portfolio modeling and information selection

Any investment decision should be grounded in solid market or economic information, not in the investor’s last emotion. This is true no matter which investment segment the portfolio manager is in:
  • In global macro / asset allocation, CIOs use econometric information (GDP, growth, balances, unemployment, PPP…), as well as market information (FX rates, interest curves, index PE...) to decide their asset class allocation.
  • In discretionary equities, portfolio managers ground their analysis in corporate fundamental information (cash-flow models, ratios, balance sheet metrics and their growths), more qualitative information (business strategy, management quality, relative positioning, provider and client data, new products) and many types of market & economic information.
  • Statistical arbitragers use technical information (momentum, acceleration, volatility, oscillators…), fundamental information (ratios, cash-flows, balance sheet statements...) and pretty much any data source they can put their hands on.

To read more, download the pdf below. 

The Importance of Sound Banking Procedures and Reviews by Multiple Sets of Eyes

TASA ID: 2717

The internet is full of landmines and scams. In this situation, a hacker obtained the email of the O’Neill Bragg president and sent an email to the VP in charge of banking to wire $580,000 to the Bank of China.  The VP didn’t question the email and completed the required wire transfer procedures for Bank Of America (BOA), O’Neill Bragg’s bank.  The Bank wired the funds thereafter.

Blockchain: Beware of the crypto-hype

December 2018

TASA ID:

This article was originally published in ITNOW, Volume 60, Issue 4, Pages 22–23, 1 December 2018,  by © 2018 The British Computer Society.

Dr. Stephen Castell explains why IT professionals need to watch out for crypto-hype and be alert to the problems ahead.

There is currently a crypto-algorithmic blockchain technology mania. Huge amounts of money, commentary, thought, ink and new paper column inches are being lavished on blockchain based technologies such as cryptocurrencies, smart contracts and distributed ledgers.

It seems almost every millennial is involved with an initial coin offering (ICO) or initial token offering (ITO). A few of these may prove to be commercially successful. They may establish a new crypto-economic paradigm. I wish these crypto-enthusiast millennials well. Indeed, I have dubbed crypto the millennials’ rock’n’roll.

To read the complete article, click here

The Role of the Financial Neutral

TASA ID: 11602

Going through a divorce requires more than navigating the legal procedures. When dividing property and assets, there are lasting financial impacts that each party must consider before making decisions. Often, each member of the couple has only their own best interest in mind, but they have a lot more flexibility in making decisions by working together in collaborative divorce.
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