Just a random thought....
CLQ1 settled 113.02
In August crude options, two short put trades. One a OTM naked put, the other a closer to the money short put spread/ For the moment shelve a view on short term direction, but for the purposes of this post we are obviously bullish.
What is the difference between the following trades aside for the net credit differences (More on the spread if it can be executed), the spread obviously is closer to the money & the naked put farther OTM.
But, The delta profile of each position is almost identical @ -.10.
Will the P&L of each behave the same as the market trades, will the spread swing around more, or will they move identical?
Short CLQ1 92.00P for .55 credit (roughly)
Delta -.105
Gamma .010
Theta -3
Vega 12
versus
Short CLQ1 112.00P for 5.30 credit (roughly)
Delta -.485
Gamma .029
Theta -4
Vega 21
Long CLQ1 108.50P for debit of -4.50 (roughly)
Delta -.384
Gamma .027
Theta -4
Vega 21
Greek info was cut & pasted off of futuresource.com just for example purposes.http://futuresource.quote.com/quote...l=CL+Q1&view=GREEKS&range=both&expiration=ONE
CLQ1 settled 113.02
In August crude options, two short put trades. One a OTM naked put, the other a closer to the money short put spread/ For the moment shelve a view on short term direction, but for the purposes of this post we are obviously bullish.
What is the difference between the following trades aside for the net credit differences (More on the spread if it can be executed), the spread obviously is closer to the money & the naked put farther OTM.
But, The delta profile of each position is almost identical @ -.10.
Will the P&L of each behave the same as the market trades, will the spread swing around more, or will they move identical?
Short CLQ1 92.00P for .55 credit (roughly)
Delta -.105
Gamma .010
Theta -3
Vega 12
versus
Short CLQ1 112.00P for 5.30 credit (roughly)
Delta -.485
Gamma .029
Theta -4
Vega 21
Long CLQ1 108.50P for debit of -4.50 (roughly)
Delta -.384
Gamma .027
Theta -4
Vega 21
Greek info was cut & pasted off of futuresource.com just for example purposes.http://futuresource.quote.com/quote...l=CL+Q1&view=GREEKS&range=both&expiration=ONE