Recent content by solk

yes, but the cost 24,500 dollars, even with margin is $6000 for 10 deltas

Hedging with option will change the greeks of my position. I only want to hedge delta, withouth introducing new theta and gamma

Hi, I am looking for a way to delta hedge my position on SPX with an instrument that has 10 delta. That is, if I am using the emini I will have 50 delta for each contract, that means I can't hedge 30 delta. I found 2 options - SSF on SPY or Synthetic Forward on spy, which gives me roughly 10...

Great and detailed answer. I am trying to understand how to apply this logic to actual trading, knowing the put verticals are theta negative in some cases - that is, when trading butterflies or straddles

If that so, butterfly or iron fly is much better composed without the put side, that is - selling call spread on one side and hedging with futures on the other side, because writing a vertical put will just remove from the theta of the call spread instead of increasing it.

If you look at the option chain I've posted, you can see that it is linear in the same direction both for calls and puts.

That makes a lot of sense and it is something I've observed many times, still, my vertical is not ATM. For example, at time of initiating it, it was 15 points OTM.

Fact is, that the vertical call has a positive theta. I am not saying "it has to be" I am saying that thats the way I observed it. Question is, how come selling a vertical put will be theta negative?

I can't seem to find pricing information

Yup, my position is 2445/2415. But basically you show that most verticals around the money have negative delta, and again - how can that make sense?

So what should I use to calculate my portolio's greeks? I guess you are right, cause the spreads in SPX are huge and calculating off the bid and ask makes the whole different.

As you can see from the option chain, it is not a one time - the lower you go with the puts, the lower is the theta into the negative zone. Since I am short the spread, selling the options - I am looking for positive theta, so I am not lucky...

Hi, Trading with IB I have a short vertical put with positive delta, negative vega but negative theta. I can see that going more far out of the money, the options have lower negative theta, so a short vertical put will always have negative theta while a short vertical call will have positive...