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June 6, 2016 at 3:00 pm
#6036
Jonathan Ward
Participant
My call spread shows a delta of -27 (after closing the put spread for 0.35 as you advised). Would the hedge be to buy 1 2610 call option for around 7.90? Or what would you use? I know you mentioned going further OTM, but I’m not sure which strike you would use.
Thanks.