Gamma-scalping a round trip
You hold a delta-hedged long option position with gamma per share (constant over the range in play). The stock ticks up $2, you rehedge, then it ticks back down $2 to where it started, and you rehedge again. Ignoring theta and financing, what is your total realized hedging P&L over this round trip, in dollars per share (to two decimals)?
Show hints (2)+
- Each rehedged move earns .
- The down-leg depends on too, so it adds to the up-leg — they don't cancel.
Answer
Reveal answer →Final answer
0.4 (± 0.001)
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