Delta & Gamma Hedging Option Spreads using R

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We create a function that will take two options as parameters & then make calculations and generate a data frame with the results (Profit & Loss) of the given option spread by hedging gamma and delta. This is not a "profit" making strategy, it is mostly used by market makers who take the opposite side of your option trades.

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Excellent video, thanks a lot.. I have one doubt.. Is it possible to neutralize Gamma of a portfolio, using only SPY? In other words, how to calculate total Gamma of a portfolio, like we do with Delta-Beta (weighted Delta or Delta Dollars). Or in case of Gamma is only possible to neutralize individualy per underline position? What about Vega?

filipeefei
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so the market makers are not in it to make money? by eliminating delta and gamma risk, they
make the money on the IV they sell to the market

dr.michaelj.stefano