If you don’t know what delta-hedging is, look it up. If you’re running “market neutral”, that’s what you do. The constant “re-hedging” of these portfolios perpetuates The Machine’s relevance like never before.
Need a basic example?
To put some context around these moves:
For those who “feel” something AFTER market moves (i.e. the market felt “great” on SEP 20th and “omg” on yesterday’s close), whatever you feel equated to a 3.0 standard deviation move in volatility expectations vs. the last 12 months.