Comment on Application of Option Greeks

Asvin commented on 15 Dec 2018, 07:51 PM

hello, my question is related to delta neutral strategy. if you are holding shares in portfolio or you have position as BUY in future, it is said dela is 1 (ONE). so you have to take opposite position so as to make delta near to ZERO.

My question as under:

I hold 100 shares of Maruti Suzuki of 9100 cost per share and current market of the said script is around Rs 7600 per share. Whether still I should take its delta as 1 (ONE) per share ? Then what are the options available to me to create DELTA NEUTRAL STRATEGY in this case.

If someone has 100 shares of Maruti of current rate of 7600 and if he desires to create above strategy how it will differ from strategy for shares purchased at Rs 9100. I hope i have explained my querry well.

Kindly oblige and explain.


View the full comment thread »