回复:delta neutral continuously?

来源: 2006-06-13 19:50:23 [旧帖] [给我悄悄话] 本文已被阅读:

depending on the strategy. the example i gave before is:

if you think IV is too low (the option is cheap), you buy call (or put), then short stocks to get to delta neutral.

then you need to adjust the shares shorted as the stock price changes. the adjustment criteria could be number of days or % change or more sophisticated algorithm.