Another ideal position?

Discussion in 'Options' started by rselitetrader, Apr 12, 2007.

  1. There was a thread sometime back discussing an "optimal" options position: a flying wrangle.

    I have been playing with some models and I am trying to find another "ideal" position which is the following:

    1. delta close to zero
    2. large positive gamma
    3. very small negative theta (can't have positive theta here)
    4. very small vega

    In this position, any movement of the underlying will cause delta to increase in magnitude with signs consistent with the direction of the market. (I.e., some quick profit in a dreamworld.) The problem is to minimize theta, and this is hard to do in theory. Any thoughts?
     
  2. cdowis

    cdowis

    Who would be foolish enough to take the other side of this position?