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May 23, 2017 at 8:21 am
#7981
Participant
Igor – much appreciated – it was great – a nice easy to follow video – on an adjustment system with nice clear rules.
A question on detail:
– If say you have too much negative Delta – and you want to add say 30 Delta to your position – as per your adjustment system you would go and purchase OTM Calls with Deltas adding up to 30 – ie 3 x 10 or 2 x 15.
– However – the shape of the Risk Curve of a Call changes – based on how far OTM the Call is.
– With Price change in the Underlying – a Call at OTM 10 will behave differently to a Call at 15 OTM.
– Do you have any approach or guidelines that would address this issue?
– Many thanks