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….

4 Comments
by thezikomoletter on November 20, 2012  •  Permalink
Posted in TZL

Posted by thezikomoletter on November 20, 2012

https://thezikomoletter.wordpress.com/2012/11/20/the-true-implications-of-being-short-gamma/

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4 Comments

  1. Keith Alexander Ashe

     /  December 16, 2012

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

    Reply
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