delta-neutral trading

straddles.

 

Sorry , you actually do mention that. I am going to be a pain but as you did not put the strikes for the above, what is the criteria for strike selection??

hmmm, if these straddles are ATM then they are more or less delta-neutral, so you are further making these delta neutral with different underlyings.Must be quite difficult to keep it under control!!!

thanks

 

Assume, for the purposes of the strategy, that they are ATM.

In practice, as time goes by, my portfolio delta changes, so the next purchases won't be delta neutral in themselves, but rather portfolio delta neutral. So, when my portfolio becomes significantly delta negative, as it is today, IF I want to become delta neutral, I'll only make delta positive trades- possibly in options with an underlying different from my current ones.

FINAL COMMENT: I used straddles for the example. I often use strangles, and may go further OTM. For example, because of the volatility skew of the OEX, I will usually sell OTM OEX puts rather than ATM. But this (selection of entry strikes) is a whole different topic. My original post was just to introduce the concept of Portfolio Delta in a discussion thread on delta-neutral trading. I hope I've done that.

 

Hi windsurfer,

yes, you have been very helpfully and thank you for sharing concept of portfolio delta neutral trading on this thread.

good luck on your trading

 

Windsurfer:
From the description of your trades, it sounds like you are doing volatility dispersion trades which seeks to profit from IV discrepancies between index options and the individual stock options which comprise the index. If you can do that successfully, hats off to you. That is in my opinion a very esoteric, complicated strategy to implement due to the nature of the greek management, component selection, trade management. I've always thought of doing that but the pull of 'instant gratificatio' daytrades keep pulling me in that direction. I find that aspect of option trading very intellectually stimulating if not financially rewarding yet since I am still figuring out how to implement it well enough to be worth it. Again. thanks for your posts and keep it up!!

 

just found this site - dont know if the software is useful

http://www.ecliptictrading.com/Software/

pretzel

 

Thanks for your comment, GATrader. I hadn't heard the term "volatility dispersion" but that seems to fit. I certainly couldn't do it without OptionVue- and even so, have to make manual adjustments.
For my "instant gratification" I have the futures!!
My impression has been that the price spreads make short term option trading difficult. Good luck with your daytrading challenge!

 

Thanks for pointing me to this, Pretzel. It looks interesting. I'll check it out for interest tonight although it only combines 5 positions. If it is good, it would give me a comparison with the portfolio delta I get w/ OptionVue.