Tuesday, June 9, 2009

06/09 Beta-Weighted Portfolio - JUN

As we approach expiration, time decay is really kicking in! Also, notice how the curve gets steeper and steeper, that's the gamma risk also showing up. It seems that no matter how hard you try, gamma will be difficult to control from this point on.
Posted by at

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)