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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, greeks, gamma, color, time-decay, risk-management
You are a gamma scalper managing a portfolio of short-dated options. Color, also known as gamma decay, represents the rate of change of gamma with respect to time, formally written as $ \frac{\partial \Gamma}{\partial t} $. You are holding a significant gamma position overnight. How does color impact your overnight risk, and why is understanding it important for your trading strategy?
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