7.4.1
Vol Risk Premium Gamma Hedge
PYTHON PLUGIN
Volatility
Premium
Description
Strategy 7.4.1: Sell vol premium, delta-hedge with stock, keep gamma
Strategy Logic
Strategy 7.4.1: Vol Risk Premium with Gamma Hedge.
Same vol-risk-premium trade but delta-hedge with the underlying stock,
keeping gamma exposure. Signal encodes both the option sale and the
delta hedge direction.
Expects ``implied_vol`` and ``delta`` columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| min_premium_pct | 0.02 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 8.0% |
| Take Profit Pct | 5.0% |
| Max Drawdown Pct | 12.0% |