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Monthly Archives: June 2014


Understanding Alpha or Gamma Rent

Alpha, Fair Alpha or Gamma Rent. N. N. Taleb explains Alpha or the Gamma Rent, in his book Dynamic Hedging, as ‘Theta per Gamma ratio’. At first the concept is quite difficult to grasp but when we reduce the risk free rate and the dividend


Chasing Swallowtails in Nathiagali

Chasing Swallowtail butteflies Last weekend in Nathiagali late in the afternoon, while lazing around on a sun deck chair, I noticed that the butterflies around our bunglow were feasting on a single flower laden tree. Baba and I had finally sat down to chat and


Sign up to review a new book on Option Greeks.

Review Option Greeks Primer – Sign up deadline this weekend Option Greeks Primer will be published by Palgrave Macmillan in Q3 of 2014. The book is aimed at bridging the gap that exists in Greeks coverage in academic and practitioner literature.  Twenty years ago when

Higher Order Greeks - Against Strike

Vega, Volga and Vanna. The option volatility Greeks.

Vega, Volga and Vanna. The option volatility Greeks. What is Vega? Vega is the change in the value of the option with respect to change in volatility. Within the Greeks Vega’s importance rises given how misunderstood the behaviour of volatility is and the impact changes