DAVID ARIAS
The book
Variables
Hedges
Hedging rules
S&P 500 gamma scalping desk
Data
Simulation
Replay a real day
Market time per tick
4.75s
10s
30s
60s
Refresh
30 fps
0.5s
1s
2s
Pause
New session
Shock S&P
−1%
+1%
Net P&L today
+$0
Theta paid
$0
Earned from moves
$0
Breakeven move
Realized / implied
so far today
Hedges
Hedged book
Straddle payoff
S&P 500
Implied vol
Realized vol
Net delta
Gamma
MES per 10 points
Theta
Variables
drag to change
The trade
restarts the session
SPX straddles
Trading days to expiry
Implied vol
The market
Realized ÷ implied
How the S&P moves
Random
Choppy
Trending
The hedging
Hedge when delta passes
Also on a timer
Off
5m
15m
30m
60m
Cost per MES
Back to defaults
Hedge blotter
MES traded
0
Cost
$0
Holding
0
Time
Side
MES
Price
Why
S&P 500 and every hedge
Net delta
Earned from moves against theta
cumulative
Where the P&L came from
today
5 minute moves vs implied
Same path, five hedging rules
net P&L
Rule
P&L
Hedges
MES
Cost