Sometimes, when formulas are hard to understand, rearranging them according to one's own interpretation can make the economic meaning immediately apparent and easier to remember. While reading the paper "The Vanna-Volga Method for Implied Volatilities" by Castagna and Mercurio (2007), I noticed that the formulas in Derman's textbook "The Volatility Smile" also have this issue; they often present the formulas using the most basic parameters and rarely utilize intermediate parameters, which can be quite dizzying. One must take pen and paper or a computer to sort through the formulas to understand them.

Doing Risk Reversal or Ratio, combined with Delta Hedge, looks like a Delta Neutral trade. Under the influence of the dynamic changes in Sticky Delta and Skew, it has a strong directional sensitivity. I am already clear about the reasons, consequences, and measures related to it.

When money flows in the market, it shines; when it gets beaten by the market, it hides.

Gm frens. We have selected positions delta hedger available at our beta site now. . Pls try. Hope you enjoy! (The UI looks pretty cool imo)

May every day be like today.

Smart Trading on this platform is truly a divine product.

Examining Volga and Vanna from the perspective of Vega's first derivative is quite beneficial. Volga = ∂Vega/∂Sigma, Vanna = ∂Vega/∂S Volga corresponds to the Vega at the Vol level. Vanna corresponds to the Delta at the Vol level. As the underlying asset moves, the two can offset each other, suggesting a mutual transformation. Trading Vanna is quite exciting, as it allows for a sense of betting on price movements while maintaining a delta-neutral position. When you establish your position, you might think it has no Vanna, but once the underlying moves, it appears. And it can be quite significant.

Using Smart Trading can approximate the effects of a market maker strategy.

While flipping through a paper, it talks about Delta for 11 pages, what Premium Adjusted Delta is, and what ATM is. Fast forward, get straight to the point.

The trading that started today has evolved to balance transaction efficiency while also charging for slippage. You read that right, charging for slippage. Thanks to GreeksLive Smart Trading. The abbreviation SFM stands for Spread from mark price, and a negative value means charging for slippage.