So it finally happened.

Quote from erol:

what about a vertical spread that matches the delta of the underlying position?
More...

The ignored factor --> contest risk.

A vertical spread that matches the underlying in terms of delta will be a LOT more costly in terms of commissions and bid/ask spread.

Plus delta will go and change on you as time goes by, vols change and underlying moves.
 
The way I saw it was that an initial position is near-linear... And gamma would be low.

Delta would increase over time due to decay... So you're getting "more shares" as time goes by.

But I didn't consider b/a. However, the ATM vertical is much cheaper than the underlying for a spread with equivalent delta
 
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