>Thinking through the example, I now see why the
>spread would need the 2x factor, and I assume that
>your "cost of delta" is the difference between the
>upper band and lower band (not distance to opening
>price). Thanks for the explanation.
On a "flip" transaction the above is correct. Of course the initial transaction only costs one half of the delta plus 1x spread.
JB
>spread would need the 2x factor, and I assume that
>your "cost of delta" is the difference between the
>upper band and lower band (not distance to opening
>price). Thanks for the explanation.
On a "flip" transaction the above is correct. Of course the initial transaction only costs one half of the delta plus 1x spread.
JB