So is this basically how the delta will change with a put option as it drops every dollar with a starting delta of .41 and a gamma of .03? I just guestimated the gamma along the way...it seems to gradually drop from .03 to .01.
So if you held stock at the strike price with .41 delta, then the position should be delta neutral by the time the put reaches 1 delta.
So if you held stock at the strike price with .41 delta, then the position should be delta neutral by the time the put reaches 1 delta.
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