Comment on Application of Option Greeks

Vaib commented on 21 Aug 2014, 10:27 AM

Thanks Karthik for your comments. To your points –

1. Costs and # of trades will anyway increase in any kind of delta adjustment.
2. We may terminate positions before expiry if spot comes back in the range and we take the benefit of theta/vol.
3. Even if vol remains high, when we shift to adjustment leg, we will get higher premiums to short.

I was hoping if you could provide some adjustments in this straddle case or suggest what to do in case short gut leg range becomes more than combined premium eaten.

We may also want to avoid very frequent adjustments due to cost/complexity involved.

Thanks for your time and inputs.

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