回复：delta neutral continuously？

来源: putwriter 于 2006-06-13 19:50:23 [] [旧帖] [给我悄悄话] 阅读数 : (350 bytes)

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.

所有跟帖： 

• Is IV a typo? Should be TV? O/w, I got you -豺狼- ♀ 给 豺狼 发送悄悄话 (0 bytes) () 06/13/2006 postreply 19:55:28

• hehe. -putwriter- ♂ 给 putwriter 发送悄悄话 (0 bytes) () 06/13/2006 postreply 20:01:19

• hoho -PF-4- ♀ 给 PF-4 发送悄悄话 (0 bytes) () 06/13/2006 postreply 20:03:59

• I think I got you -豺狼- ♀ 给 豺狼 发送悄悄话 (350 bytes) () 06/13/2006 postreply 20:02:46

• 回复：I think I got you -putwriter- ♂ 给 putwriter 发送悄悄话 (259 bytes) () 06/13/2006 postreply 20:05:46

• :-) Thanks! -豺狼- ♀ 给 豺狼 发送悄悄话 (174 bytes) () 06/13/2006 postreply 20:11:10

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