The best options strategies

[botpro]

Ah, fantastic... So that means that you imply the vol from the market price and then compute delta using that vol. Now you're an intelligent young man (I presume). So tell me, doesn't the above suggest that delta is, in fact, determined by the price of the option?

Yes, of course!

 

[Martinghoul]

Yes, of course!

Superb! So maybe, in light of this, you could think again about an earlier statement that you made? The one where you stated that "entry price, be it fair or mispriced, is irrelevant for hedging..."

 

[botpro]

Superb! So maybe, in light of this, you could think again about an earlier statement that you made? The one where you stated that "entry price, be it fair or mispriced, is irrelevant for hedging..."

FYI: a hedging period begins with the entry and ends on the expiration date, if not closed earlier.
Ie. a long time to go...
So, the entry price of the option, be it a misprice or a fairprice, is, as said, irrelevant because it equals out by time due to the rebalancing, ie. hedging in intervalls.
...unless you show and convince me/us of the contrary...

 

[Martinghoul]

FYI: a hedging period begins with the entry and ends on the expiration date, if not closed earlier.
Ie. a long time to go...
So, the entry price of the option, be it a misprice or a fairprice, is, as said, irrelevant.
...unless you show and convince me/us of the opposite...

Erm, I dunno maybe I didn't express myself sufficiently clearly. Did you not just agree that delta is implied by the option price? Did you not also say that "delta is the main player" for hedging? I am more than confident that you're capable of connecting the dots...

 

[botpro]

Erm, I dunno maybe I didn't express myself sufficiently clearly. Did you not just agree that delta is implied by the option price? Did you not also say that "delta is the main player" for hedging? I am more than confident that you're capable of connecting the dots...

Pseudocode for Dynamic Delta Hedging:

while (not_expired)
  {
      getMarketprice
      findIV
      calcDelta
      doDeltaHedging_ie_rebalancing
      optionallyPauseAWhile
  }

Still anything unclear?

 

[Martinghoul]

Pseudocode for Dynamic Delta Hedging:

while (not_expired)
  {
      getMarketprice
      findIV
      calcDelta
      doDeltaHedging_ie_rebalancing
      optionallyPauseAWhile
  }

Still anything unclear?

Nah, everything is extremely clear to me, indeed...

 

[destriero]

The table data is from finance.yahoo.com, Dumbtruck!

As*face, use the mid...

 

[OptionGuru]

Pseudocode for Dynamic Delta Hedging:

 

[El OchoCinco]

Best option strategy: Butterflies

 

[Martinghoul]

As I am sure so many people have said before, there's no such thing as a "best option strategy". I have said it before, but I'll say it again. Strategies don't kill people, people (and leverage) kill people.

In that vein, butterflies are not the best, but could certainly be appropriate for particular settings.