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Sure I could answer if I understood the question. Try again ?

What's delta got to do with it ? The delta of an ATM option is always 0.50, regardless of how far away expiry is. It's Gamma (rate of delta change) that's all important. Gamma is also opposite (but not equal to) Theta, so you have to trade one for the other when choosing how far out in time you...

Is this for real, or a wind-up ?

Thay also have overheads.

PMSL @ MTE :D

An example of Delta and Gamma neutral would be a box; Short 50 Puts Long 50 Calls Short 55 Calls Long 55 Puts Theory says you should make the risk free interest rate when long a box, as above. In practice however, with spreads and commissions to pay, it's somewhat different.

When the delta on your short position reaches an unacceptable limt.

Almost, but not quite. Whereas to calculate d1 interest rates are added so as to include the value of acquiring the underlying now, to calculate d2 (or Prob) interest rates are discounted so as to give the present value of paying the exercise price at option expiry. So the formula is...

Delta is not a probability, it is a hedge ratio.

All greek calcs need a volatility input, even RHO.

Why can't he post here ? What's his web address please ?

No, because the holder of an ITM call will exercise the option, so that he will capture the div.

Arnie, Remember you need to look at the underlying forward price, not the cash. There could be a significant difference in value, depending how far out in time you go. That may go some way to explaining the Calls/Puts pricing discrepancy ?

Just so I understand that - if for example, every stock in the index first printed at exactly the same time, then the settlement value would indeed be the first print of the index?

Making 10% - 15% per month ROI selling naked Puts is easily doable. Making 10% - 15% selling CC's much less so. Even though both strategies are essentially one of the same, you wouldn't get the leverage selling CC's when compared to naked Puts.

Why not just short a naked put and save some $ on commissions ?

You're kidding right ?

I also tend to be fully invested 80-90% of the time. I wouldn't hold capital back because I thought the market would fall - I'd deploy it in anticipation of the fall, i.e. short calls or long puts. Not necessarily right or wrong, just my way of operating. Hmm, voices in head, early signs...

yip I'm sure you have it right. It's not difficult, and a very useful indicator IMHO.

yip Have a look at a few worked examples here; http://www.miapavia.it/homes/ik2hlb/sr.htm