N newwurldmn May 19, 2015 #11 galvinlee888 said: What you will do if your short call is in the money at expiration? Buy it back with a loss? More... yes. but he's running a lot of delta on the 1y. so he should expect to offset that loss with the 1y. It's a moderate downside move that hurts him: vol resets down and he gets naked long delta.
galvinlee888 said: What you will do if your short call is in the money at expiration? Buy it back with a loss? More... yes. but he's running a lot of delta on the 1y. so he should expect to offset that loss with the 1y. It's a moderate downside move that hurts him: vol resets down and he gets naked long delta.
