Author Archives for Fmarketuser

Total return swaps

March 22, 2024 11:28 am Published by Fmarketuser Leave your thoughts

Defintions A total rate of return swap is a fixed for floating swap in which cash flows are exchanged but... View Article

February 16, 2024 11:39 am Published by Fmarketuser Leave your thoughts

Definition An interest rate cap is an option structure whereby the buyer is protected against rates rising above a pre-agreed... View Article

February 2, 2024 10:44 am Published by Fmarketuser Leave your thoughts

Introduction In some previous posts I had explained the concept of delta and gamma within an option trading context. One... View Article

December 19, 2023 12:18 pm Published by Fmarketuser Leave your thoughts

This is the fourth post in a series looking at elements of option trading and option risk management. In the... View Article

December 11, 2023 11:01 am Published by Fmarketuser Leave your thoughts

In the previous posts we had looked at a delta hedged short call position, which we argued was a way... View Article

December 4, 2023 10:46 am Published by Fmarketuser Leave your thoughts

Gamma is defined as the rate of change of delta with respect to a given change in the underlying price. ... View Article

November 3, 2023 11:45 am Published by Fmarketuser Leave your thoughts

Introduction Over the last few posts we have spent a fair amount of time looking at delta as a measure... View Article

October 27, 2023 1:28 pm Published by Fmarketuser Leave your thoughts

In the previous post we looked at the payoff that combined a short call position with a delta hedge such... View Article

September 29, 2023 3:19 pm Published by Fmarketuser Leave your thoughts

In the previous post we had sold 100 ATM call options on Tesla and hedged the delta exposure by purchasing... View Article

September 1, 2023 1:57 pm Published by Fmarketuser Leave your thoughts

Let’s start with a quick recap of a couple of key concepts. Suppose you have bought a 3 month ATM... View Article