Friday, February 20th, 2015

Any ideas for when to balance/adjust a delta neutral options position?

I’ve been trading a delta neutral options position only in a particular stock is very volatile in recent months and have pretty decent results. The problem is to find out that I am presenting at a point which is that to balance the acciones.He read that a convention is to balance the trade when the delta exceeds an absolute value of one (or 100 deltas). Given the volatility of this stock I’ve been using a value of 1. 5. A typical day returned a profit. 4% (excluding outliers that are significantly biased upwards). However, some day turn a profit which is closer to 20%. I also read that sometimes it is normal to expect a 20% change in the underlying asset, which seems somewhat liberal wanted to know mí.Sólo if anyone knew of the agreements or have a method that has worked. I’m not particularly happy with my strategy, but sometimes I feel it is too conservative, yes, limiting losses, gets reduced earnings, and keeps me in the game of big changes, but any longer (in fact nothing more than a play a days) occurs for me in the delta neutral rather than biased posición.Debo noted a trend that usually do not like to hold stocks of less than four weeks of expiry but given the wild swings in this population have not had no problem waiting until two weeks before vencimiento.Todas ideas are welcome! Thanks and good comercio.Debo clarify some things: 1) When I refer to the absolute value of delta total of more than one I mean the difference between the two deltas2) I usually use ITM options, however, is not always technically a straddle b / c they have not always been using the same exercise prices for various reasons (for example, an easier adjustment back to neutral).

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One Response to “Any ideas for when to balance/adjust a delta neutral options position?”
  1. dos_fossil says:

    On what stock?

    What strategy for this delta neutral?


    Not your every day stock tip.

    But hey, good luck!

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