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a barrier not breached essentially models like a 1DTE vanilla, so binary. you essentially do no hedging until you are very very adjacent to the strike and your gamma is very volatile. in practice you essentially don’t hedge in vanillas at all until its breached
Huh my brain must be broken. I feel like a put with strike < spot and a knock-in-put with strike < barrier < spot have the same payoff in all states of the world, so they shd have the same greeks and be hedged in the same way.
a down-and-in barrier (the type present in an autocall and easily reproducible in a leveraged single asset account with a maint-margin constraint) has an exercise strike that is higher than the binary strike at which the option becomes live.”
in a typical autocall you sell an option with a strike 20-30% below current levels on an option with a strike at today’s price, so you jump from being down 0% when barrier is unbreached to -30% when its breached and it can happen in a single tick. its like a JTD thing
they do. the difference is only there before the barrier is breached. your brain isn’t broken
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