Gamma Scalping Adjustment - Quant Trader Interview Question
Difficulty: Hard
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, gamma, delta, gamma-scalping, trading
Problem Description
You are managing a portfolio with a long straddle position (long call and long put) on a stock. The stock price is currently 100 dollars, and your position is delta-neutral. Your gamma is positive. The stock price moves up to 101 dollars. To maintain a delta-neutral position through gamma scalping, what action do you take?
Practice this hard trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.