Delta-Gamma Hedging Strategy with Real SPY Options Data

This project simulates and compares two volatility-based options strategies using real market data from SPY (S&P 500 ETF):

1. Long Straddle Strategy - A pure volatility bet, long call + long put at the same strike.
2. Delta-Gamma Hedged Portfolio (Butterfly-style) – A convex options strategy that is Delta-neutral but Gamma-exposed, constructed using real option chain data and Black-Scholes Greeks.

What This Project Demonstrates

• How to fetch real SPY options data using yfinance
• How to calculate Delta and Gamma using the Black-Scholes model
• How to construct and simulate:
  • A Long Straddle
  • A Butterfly-style Delta-neutral, Gamma-positive portfolio
• How to visualize and compare the convexity and profit/loss behavior of both strategies

Strategy Comparison

Strategy	PnL Shape	Risk Profile	When to Use
Long Straddle	"V" shape	High cost, high reward	Earnings, macro events
Delta-Gamma Hedging	Smooth curve	Moderate reward	Low-volatility trending markets

Files

• spy_delta_gamma_hedging.ipynb – Notebook with data fetching, simulation, and plots
• spy_calls_chain.csv – Option chain snapshot (optional)
• requirements.txt – Dependencies to run the project

How to Run

1. Clone the repo
2. Install requirements:

   pip install -r requirements.txt

3. Run the notebook:

   jupyter notebook spy_delta_gamma_hedging.ipynb

Example Output

The notebook generates the following comparison plot: