Question for
@FrankSG and/or
@generalenthu :
First, thank you BOTH for your generous contributions to the board! Frank, I've read all of your blog posts, and I make reference to your models often. Generalenthu, I've referenced your delta hedging tables a few times before, and I always pay attention when I see either of you post.
Yesterday, I was playing with Frank's new S&P Inclusion model (Gosh-darn thanks again Frank!), and I'm curious about the inputs section. In particular, I can't figure out how to estimate potential Total Delta Hedge Inventory for price moves larger than the 100pts represented in
Generalenthu's super-awesome tables.
My feeling is that we’ll see varying conditions between now and the inclusion date, and I’d love the ability to keep my inputs current.
The range shown on the tables usually provides plenty of headroom, but during the inclusion period I’d love to be able to assess a wider range, similar to this section from Frank’s newest post:
I understand if you’d rather not share this info publicly, so thanks regardless. You’ve both already been a huge help!
Side note: I do remember some discussion here when
@generalenthu first presented these tables, but I wasn’t able to dig it back up. If there’s existing discussion on the methodology, and you’d rather just point me there, I’d appreciate that as well.
Thanks again!
Go Go TSLA Longs!