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120 questions · full solutions

Options & Hedging

Parity to gamma P&L without hand-waving: replication arguments, binomial trees, Greeks intuition, and the breakeven arithmetic vol desks screen for.

  1. 01Put-Call ParityEasy
  2. 02Why Buy a Straddle?Easy
  3. 03Delta of the ATM CallEasy
  4. 04Hedge the BookEasy
  5. 05Build It Without Buying ItMedium · Private
  6. 06What Gamma Buys YouMedium · Private
  7. 07The Theta-Gamma ContractMedium · Private
  8. 08The Broken ButterflyHard · Private
  9. 09Price a Straddle in Your HeadHard · Private
  10. 10Gamma P&L on a GapHard · Private
  11. 11The Forward Hiding in the ChainMedium · Private
  12. 12Never Early. ExceptMedium · Private
  13. 13When the Put Says NowHard · Private
  14. 14One Step, No OpinionMedium · Private
  15. 15Two Steps DownMedium · Private
  16. 16Manufacture the PutMedium · Private
  17. 17Where Vega LivesMedium · Private
  18. 18The Option That Ages WellHard · Private
  19. 19Gamma's GeographyMedium · Private
  20. 20Why the Smirk?Medium · Private
  21. 21Sticky Strike, Sticky DeltaHard · Private
  22. 22Straddle or Strangle: Do the BreakevensEasy
  23. 23Butterflies Are ProbabilitiesMedium · Private
  24. 24The Risk ReversalMedium · Private
  25. 25Selling Time to Buy TimeMedium · Private
  26. 26The Box Is a BondHard · Private
  27. 27The Digital's Dirty SecretHard · Private
  28. 28Net the BookEasy
  29. 29Three Days of ScalpingHard · Private
  30. 30Covered Call, UnmaskedEasy
  31. 31The Free FenceEasy
  32. 32Straddle to Vol, Ten SecondsEasy
  33. 33Vanna: the Cross-GreekHard · Private
  34. 34Premium, DissectedEasy
  35. 35Built-In LeverageEasy
  36. 36The Rule of 16Easy
  37. 37The Vol Between the VolsMedium · Private
  38. 38Squeeze the SpreadMedium · Private
  39. 39Realized Vol From the TapeMedium · Private
  40. 40Vol of a BasketMedium · Private
  41. 41Delta Is Not the ProbabilityMedium · Private
  42. 42The Probability That Doesn't MatterMedium · Private
  43. 43Who Pays for Saturday?Medium · Private
  44. 44The Delta of a CliffMedium · Private
  45. 45One by TwoMedium · Private
  46. 46Make Me a Market in VolMedium · Private
  47. 47Why Asians Are CheapMedium · Private
  48. 48Settling a Variance SwapMedium · Private
  49. 49Decay Is Not a Straight LineMedium · Private
  50. 50The Interest Rate Hidden at One StrikeMedium · Private
  51. 51A Spread Worth More Than Its WidthHard · Private
  52. 52The Vol Curve That Bends BackwardsHard · Private
  53. 53Convexity With Crooked WingsHard · Private
  54. 54Two Spreads, One Impossible CDFHard · Private
  55. 55Scan the ChainHard · Private
  56. 56Parity With a Dividend in the WayHard · Private
  57. 57What the Puts Know About the BorrowHard · Private
  58. 58The Box That Wasn't RisklessHard · Private
  59. 59Walk the ReplicationHard · Private
  60. 60Where Early Exercise Switches OnHard · Private
  61. 61The Straddle That Isn't NeutralHard · Private
  62. 62Your Delta Moved While You SleptHard · Private
  63. 63Which Delta Do You Hedge?Hard · Private
  64. 64Marked by the RegimeHard · Private
  65. 65Paying Rent on the Term StructureHard · Private
  66. 66A Smile From NowhereHard · Private
  67. 67Rebuild the Smile From Three QuotesHard · Private
  68. 68The Correlation the Index Is SellingHard · Private
  69. 69Variance Beats Vol in Both TailsHard · Private
  70. 70Why 1 Over K SquaredHard · Private
  71. 71Right About the Move, Wrong About the TradeHard · Private
  72. 72How Big Is the Event, Says the MarketHard · Private
  73. 73Two Hedgers, One ChartHard · Private
  74. 74The Noise You Can't Hedge AwayHard · Private
  75. 753:59pm on the StrikeHard · Private
  76. 76The Market Closed. The Option Didn't.Hard · Private
  77. 77Assignment EveHard · Private
  78. 78Read the Position Off the PictureHard · Private
  79. 79Gamma Without the VegaMedium · Private
  80. 80The Square ContractMedium · Private
  81. 81Touch Versus FinishHard · Private
  82. 82Mirror StrikesHard · Private
  83. 83What the Wing Is WhisperingHard · Private
  84. 84Where 25-Delta LivesHard · Private
  85. 85Fair Price, Unfair CoinHard · Private
  86. 86Hedge at 20 or at 25Hard · Private
  87. 87The Digital Hiding in DeltaHard · Private
  88. 88Two Halves of a VanillaHard · Private
  89. 89Flatten a Two-Leg BookEasy
  90. 90Straddle or Strangle?Medium · Private
  91. 91Iron Condor Risk NumbersMedium · Private
  92. 92Forward with Carry, Then the ArbMedium · Private
  93. 93The Book's Average VolMedium · Private
  94. 94Which Way Does the Quanto Adjust?Medium · Private
  95. 95Repricing the Smile After a RallyMedium · Private
  96. 96Price the American Put on a Two-Step TreeHard · Private
  97. 97Replicate the Call, Step by StepHard · Private
  98. 98Probability of a Band from Three ButterfliesHard · Private
  99. 99Aggregate the Book, Then Hedge ItHard · Private
  100. 100Splitting Theta: Rent vs CarryHard · Private
  101. 101One Day of Gamma P&LHard · Private
  102. 102Breakeven Vol of a Blended Gamma BookHard · Private
  103. 103Calendar Spread Scenario TableHard · Private
  104. 104Is This Smile Arbitrage-Free?Hard · Private
  105. 105Never Exercise the Call Early (Except...)Hard · Private
  106. 106Parity with a Dividend Yield: Find the EdgeHard · Private
  107. 107Map the Ratio SpreadHard · Private
  108. 108Broken-Wing Put ButterflyHard · Private
  109. 109How Far From 50-Delta Is ATM?Hard · Private
  110. 110Price the Chooser by DecompositionHard · Private
  111. 111What's 'Buying the Low' Worth?Hard · Private
  112. 112The Synthetic Is Crossed With the StockHard · Private
  113. 113Short Calls Into the Ex-DateHard · Private
  114. 114The Quote Disagrees With the TreeHard · Private
  115. 115Relative Likelihood From Two FliesHard · Private
  116. 116The European Put Below IntrinsicHard · Private
  117. 117Hedge Gamma First, Then DeltaHard · Private
  118. 118Read the Carry Off the ChainHard · Private
  119. 119Right on Direction, Still DownMedium · Private
  120. 120Price the BinaryMedium · Private