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Post# of 704041
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Zeev Hed

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Zeev Hed

Re: dave_s post# 59674

Saturday, 12/28/2002 9:37:31 PM

Saturday, December 28, 2002 9:37:31 PM

Post# of 704041
Thus, by definition, delta hedging is not what is happening post expiry, since delta hedging is carried out always prior to expiry. I think that the post expiry impacts are associated with two elements, options that were not well hedged and the resetting of new option positions for the next period.

Zeev

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