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Comment by eyx

That's the theory, it's not my point.

My point is that a market maker will not carry an option position that is impossible to hedge due to the underlying liquidity. In other words, he will not carry a gamma position that is not "in line" with the liquidity of the underlying.

I may be wrong, but the article is about buying a lot of short dated (high gamma) call options from a market maker and hoping that he will drive the market up while hedging his position.

parent eyx 5 years ago

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