Prices moved so fast that insurers could not keep up with the necessary rebalancing. They were chasing

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Prices moved so fast that insurers could not keep up with the necessary rebalancing. They were “chasing deltas” that kept getting away from them.

The stock market also saw a “gap” opening, where the opening price was nearly 10%

below the previous day’s close. Prices dropped before insurers could update their hedge ratios. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 05:01 AM

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Prices moved so fast that insurers could not keep up with the necessary rebalancing. They were chasing

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