Delta and Gemma

Discussion in 'Options' started by met1989, Apr 25, 2019.

  1. met1989

    met1989

    how come on this position it’s a butterfly the Delta is like -7.14 when it can only go from one to minus one ?
     
  2. destriero

    destriero

    The initial delta is on the ten lot, not per contract. Flies are bimodal to delta from wing to wing. The delta can approach (but not touch) 1K deltas.

    I see that you stretched the OTM to reduce the debit. Gotta be careful there. Your initial short D will become long D very quickly.
     
  3. met1989

    met1989

    Why would it change so quickly if I’m so far out of expiration date ?
     
  4. destriero

    destriero

    The outside wing is 120 points from the body.