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March 8, 2016 at 1:37 pm
#4896
faz
Participant
thanks Steve,
It shows that deltas get more directional if they are ITM and less directional if they are OTM as time goes by. By rolling we keep on the OTM side of things..
Compare that to my options, By hedging with a BPS it will put me closer to the right hand side of the graph then i want to be while also bringing the left hand side of the graph closer ?
so rolling is better… but in my situation without any BPS should i still not add one to make it delta neutralish?