I think I got you

来源: 豺狼 于 2006-06-13 20:02:46 [] [旧帖] [给我悄悄话] 阅读数 : (350 bytes)
回答: delta neutral continuously？ 由 豺狼 于 2006-06-13 19:44:55

I didn't think this way before. This is a good hedge strategy.

For example, AMD Jun $25 call is $0.40 while if I bet AMD will go down. I can do:

1) buy 1 call at $40
2) short 200 shares (because delta is about 0.5)

When the price goes down $.20, I break even.

So market neutral means option is always a defensive tool.

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• 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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