Soon2Bgreat
Last Activity:
Nov 24, 2017 at 12:08 PM
Joined:
Apr 14, 2006
Posts:
659
Likes:
47
Location:
New York

Soon2Bgreat

from New York

Soon2Bgreat was last seen:
Nov 24, 2017 at 12:08 PM
    1. amsterdam
      amsterdam
      Hi,

      You recently talked of "We've had a frustrating amount of days where long sp delta outperforms short vol, the extra vol makes weighting these difficult imo. "

      Would it be much to ask you to elaborate on this if possible. I'd greatly appreciate some clarity.

      when you say the sp delta outperforms short vol, what exactly does that mean. Is it possible to obtain the sp delta off say e-signal, or is such info only available on bloomberg?

      Greatly appreciate your input in helping me understand this.

      Rgds,
      1. Soon2Bgreat
        Soon2Bgreat
        SP delta is the amount of directional exposure. If you sell an at the money SP put it has a delta of .5. Thd hedge is to sell half that notional in SP. If there is a strong up day the delta hedge will lose more money than the put will gain.

        The more volatile a market is the more the delta changes so it becomes difficult to properly hedge.
        Nov 15, 2014
  • Loading...
  • Loading...
  • About

    Location:
    New York