  Managing a book of options on several underlying involves controlling
positions of several thousands of financial assets. It is one of the most
challenging financial problems involving both pricing and microstructural
modeling. An options market maker has to manage both long- and short-dated
options having very different dynamics. In particular, short-dated options
inventories cannot be managed as a part of an aggregated inventory, which
prevents the use of dimensionality reduction techniques such as a factorial
approach or first-order Greeks approximation. In this paper, we show that a
simple analytical approximation of the solution of the market maker's problem
provides significantly higher flexibility than the existing algorithms
designing options market making strategies.
