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March 17, 2016 at 7:58 pm
#5046
Cody
Participant
I want to expand on or I guess be more specific on Marco’s question above about “max delta” for delta band adjustment technique because I’ve wondered the same. As an example, if I’m modeling an IC in TOS and I switch the mode from P&L to delta, and then day step +4, it becomes obvious that “max delta” will vary depending on time in the trade (and I suppose this is just a visualization of charm). But when you are just entering a trade and looking for that “max delta” figure to divide by 2, are you using the max today at entry? In 2 weeks? In 30 days?