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a market maker who writes call options in response to a customers request is exposed to both Delta and gamma Delta is exposure to small movements in the stock price gamma is exposure to large movements in the stock price or volatility the market maker typically will require two trades to fully hedge or neutralize the Delta and gamma exposure and Ill explain that now my example here is similar to an example in John Halls chapter 19 of the 10th edition of his book my values are different because Ive calculated Delta and gamma per the option pricing model thats in this spreadsheet so these values are realistic for my assumptions and you can download the spreadsheet and change them if you like to get different Delta and gamma values but the situation is that we can imagine ourselves as the market maker our customer would like to purchase or buy call options we want to fill that order as the market maker and so we sell them where the counterparty who takes a short position by writing o
