OK..
sold 3 x .47 delta = 141 deltas. bought 20 x .50 delta = 1000 deltas. You are about 8 to one too long.
Don
My option trades
- Thread starter ryanpatrick
- Start date
OK..
sold 3 x .47 delta = 141 deltas. bought 20 x .50 delta = 1000 deltas. You are about 8 to one too long.
Don
If you're buying deltas, and the market is nice enough to go up 6,000 points in 3 years, then you might have something there. Traders on the floor can't count on directional trading, that's how they lose their accounts.
But, as I've always said, if you're making enough to live on, keep doing what you're doing. I just think all the real edges in options have become so marginalized that it's just not worth it. BUT, a big BUT, if you enjoy it, and are making money, please don't stop.
To each his own, and everyone has their own trading plan, and even reason for trading....other than "it's fun" I hope, LOL.
All the best everyone, enjoy the weekend,
Don
Figuring delta neutral.
So - 3x 47 = 141 delta sold March 65
2 x 50 = 100 delta bought May 65
I see now, how you calculate this. But to make it neutral, would I buy some OTM long calls for May?
(Interesting all the little bitty things you need to know.)
Or let me see. 3 long calls = 2 x 50 bought for 150 Delta
2 Delta 47 short March Calls for 141 delta
Then maybe add some OTM shorts with low delta?
Thanks for the input.
Good weekend everybody!
So - 3x 47 = 141 delta sold March 65
2 x 50 = 100 delta bought May 65
I see now, how you calculate this. But to make it neutral, would I buy some OTM long calls for May?
(Interesting all the little bitty things you need to know.)
Or let me see. 3 long calls = 2 x 50 bought for 150 Delta
2 Delta 47 short March Calls for 141 delta
Then maybe add some OTM shorts with low delta?
Thanks for the input.
Good weekend everybody!
Well I´m running some paper trading, PAIRS TRADING THIS WEEK AND TWO CALENDAR SPREADS AND MONDAY WILL PROBABLY DO A PAPER TRADE ON A STRADDLE. ( all paper trading experiments ) I´m interested in seeing what GAMMA numbers do? Though I have read that Gamma scalping is actually adjusting the balance on DELTAs by numbers of contracts. I was leaning from your comments, to thinking the GAMMA number would indicate the trend had turned the other way? Since you told me to throw away the charts and indicators.
It´s Sunday morning right now and like a young puppy with a rag, I´m chewing on it, and tossing it around from side to side. Not sure I still fully understand Delta Neutral?
I get the part about multiply the number of contracts x the delta. Thankyou for that hint.
Like a Leprechaun Don, you mentioned hitting on the pot of gold, by squaring your deltas at the end of the day one time, and the market tanked when the Rainbow came out the next morning. You mentioned finding the pot of Gold where the rainbow touched the ground.
So from that casual comment of yours, I am looking to figure out how to square my deltas at the end of the day. Looking at my notes, I see I was wondering what you do, when you have 141 Delta on one side and 100 delta on the other side? Not enough to make an even contract purchase or sale to balance up. So do you go OUT THE MONEY until you find a price that will even it up? Buy or sell, and even up the DELTAs that way?
It´s Sunday morning right now and like a young puppy with a rag, I´m chewing on it, and tossing it around from side to side. Not sure I still fully understand Delta Neutral?
I get the part about multiply the number of contracts x the delta. Thankyou for that hint.
Like a Leprechaun Don, you mentioned hitting on the pot of gold, by squaring your deltas at the end of the day one time, and the market tanked when the Rainbow came out the next morning. You mentioned finding the pot of Gold where the rainbow touched the ground.
So from that casual comment of yours, I am looking to figure out how to square my deltas at the end of the day. Looking at my notes, I see I was wondering what you do, when you have 141 Delta on one side and 100 delta on the other side? Not enough to make an even contract purchase or sale to balance up. So do you go OUT THE MONEY until you find a price that will even it up? Buy or sell, and even up the DELTAs that way?
IN all seriousness, you should check for the best fair value to make up the difference in delta....sort of. Hard to explain what would make some sense. Sometimes selling puts vs. buying calls, will be the best suggestion. Again, run those sheets...run 10% up in underlying, 10% down, 10 days out, 1 month out. Focus on the bell curve and the changes due to time decay.
DO NOT get too ratio'd out, don't end up with 20 10delta options long or short vs. 5 or something. That's how "stuff" happens.
Don
The IYT (Dow Transportation Index) was the first index to break down with a bearish 10dma / 20 dma crossover and now the IWM
(Russell 2000) has one as well (see attached chart).
If these turn out to be leading indicators, we may finally get a little
pullback.
(Russell 2000) has one as well (see attached chart).
If these turn out to be leading indicators, we may finally get a little
pullback.
Thankyou for responding Don, on this Monday morning.
My mind was cogitating and working overtime, during the weekend. I do believe I´m actually learning the Greeks? Some of them anyway. This week I should see while learning this Greek bicycle, if I can stay on it.
I placed a Long Straddle this morning in CASH, a bare minimum as it were. I wanted to practice calculating the Delta and Gamma numbers and do have my worksheet. Just finished it actually. I do recollect from Don´s memoirs that he evened up his Delta´s before the Close each day, or something like that? Presumably I will try to do something similar if I can figure it out.
On the fear of a market drop. After learning about EARNINGS REPORTS this past month, I have a feeling that a market drop will probably occur late March, or early April. Just my amateurs guess. I think with generally positive earnings coming out, that should bolster the market. But then who knows. LOGIC is not the name of the game in this playing field.
My mind was cogitating and working overtime, during the weekend. I do believe I´m actually learning the Greeks? Some of them anyway. This week I should see while learning this Greek bicycle, if I can stay on it.
I placed a Long Straddle this morning in CASH, a bare minimum as it were. I wanted to practice calculating the Delta and Gamma numbers and do have my worksheet. Just finished it actually. I do recollect from Don´s memoirs that he evened up his Delta´s before the Close each day, or something like that? Presumably I will try to do something similar if I can figure it out.
On the fear of a market drop. After learning about EARNINGS REPORTS this past month, I have a feeling that a market drop will probably occur late March, or early April. Just my amateurs guess. I think with generally positive earnings coming out, that should bolster the market. But then who knows. LOGIC is not the name of the game in this playing field.
One aside for Don here.
The most useful thing, you told me was one day last week in exasperation, to THROW AWAY THE CHARTS. Like a bucket of cold water over my head. I was in shock.
As a teacher you might find that little tidbit useful. That forced me to think what I would do without my charts? So my subconcious has been running Delta and Gamma through my brain, developing uncontrolled internal visualizations of what is happening and I can relate to. Sort of like a light bulb going off in my head. I do believe, not sure yet, but might actually be comprehending in visual form in my head ( frontal lobes ). Will see this week, as I run some paper trades. I´ve got two paper calendar spreads running and one pairs trade running on paper that is. One straddle in cash. I´m also holding two trades in Calls based on the mean regression line. Also in Cash. All in QQQ
We shall see what we shall see by the end of the week.
You know I charted all those GREEKS last Fall, because Atticus was after me about it. Despite all the writing down, I could not see any correlation in them. Guess I did not to know how to look and apply them? Been doing a lot of reading over the weekend and getting every once in a while, lots of trash, but once in a while a sentence in somebody´s writing articles, which suddenly makes sense and turns that light bulb on.
The most useful thing, you told me was one day last week in exasperation, to THROW AWAY THE CHARTS. Like a bucket of cold water over my head. I was in shock.
As a teacher you might find that little tidbit useful. That forced me to think what I would do without my charts? So my subconcious has been running Delta and Gamma through my brain, developing uncontrolled internal visualizations of what is happening and I can relate to. Sort of like a light bulb going off in my head. I do believe, not sure yet, but might actually be comprehending in visual form in my head ( frontal lobes ). Will see this week, as I run some paper trades. I´ve got two paper calendar spreads running and one pairs trade running on paper that is. One straddle in cash. I´m also holding two trades in Calls based on the mean regression line. Also in Cash. All in QQQ
We shall see what we shall see by the end of the week.
You know I charted all those GREEKS last Fall, because Atticus was after me about it. Despite all the writing down, I could not see any correlation in them. Guess I did not to know how to look and apply them? Been doing a lot of reading over the weekend and getting every once in a while, lots of trash, but once in a while a sentence in somebody´s writing articles, which suddenly makes sense and turns that light bulb on.
Too late.
flipside21,
"Truer words were never spoken."
Jeff