Delta Neutral Strategies

Delta Neutral Strategies
Adjustments
can make profit even if wrong ab mkt dir
hedge w/ options, use stock for directional part
eg, b 100 sh xyz, then b 2 atm puts xyz:
delta fm xyz = +100
delta puts xyz = -50 x 2 = -100
====
0 delta
adust position to kp at delta 0
eg2: intc @ 90
b 500 sh intc $45,000
b 10 atm puts @ 2.75 $ 2.750

-> intc to 95
options now at -35 delta x 10 = -350
stock still 500 delta = 500
+150
must sell 150 sh intc to balance


Delta Neutral Strategies
Delta Value: (+ if c; - if p) (+ if long)
3 strikes OTM +15-20
2 strikes OTM +25-30
1 strike OTM +35-40
ATM +50
1 strike ITM +60-65
2 strikes ITM +70-75
3 strikes ITM +80-85