What delta and theta numbers should you shoot for in a short put? You know you can take more delta, less theta and collect more premium if you go deeper ITM but how do you strike the right balance between the two greeks?
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Delta and theta in short put
- Thread starter turkeyneck
- Start date
Quote from turkeyneck:
What delta and theta numbers should you shoot for in a short put? You know you can take more delta, less theta and collect more premium if you go deeper ITM but how do you strike the right balance between the two greeks?
All this can be monetized pretty easily. Your broker "should" give you access to time decay and delta values as the strike price gets closer, and days until expiration get shorter.
Take some time to just think about it. Delta's change as the price gets closer to strike, but then again, when you have less time until expiry, your chances of a big move lessen. Run your historical volatility, move the date out, more near expiration, see what the delta's look like. You can do this manually of course, but using a simple program, again should be provided by broker, with those variable easily programmed.
Just trying to help,
Don