The True Implications Of Being Short Gamma

A Thanksgiving Treat. Spot the similarities between the two graphs.

Graph 1, the well-being of a turkey across time:

Source: Attain Capital

Graph 2, the equity curve of our old friends at Long-Term Capital Management:

Source: Wikipedia

For turkeys and gamma sellers alike, everything seems fine until one day….

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  1. This is one of my favorite charts. I think Nassim Taleb also references this in Fooled by Randomness.

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