Iran: Peak Gamma

Authored by Frank Flight, Citadel Securities Head of Macro Strategy,

When thinking about Iran’s strategic decision-making process it may be helpful to use a framework borrowed from options markets. We use the construct as an analytical device because it offers a useful way of thinking about how the value and durability of Tehran’s leverage change with both the oil price and the political calendar. We recognize the framework abstracts from the profound human consequences of the conflict.