Discussion in 'Options' started by James.DeGori, Jul 20, 2019.

  1. I was watching youtubes video's on trading and subsequently read the comments. One the comments were as follows ...

    "I've made a living buying out the money options with a 32 delta and all needed is a .20 cent move in the SPY to get 10% daily. "

    Can someone shed some light on this, whether it was calls or puts (I am thinking calls) and whether or not this trade would work?
  2. tommcginnis


    No help available. :(

    A 20¢ move for a 30-delta strike on the afternoon of its expiration would produce a sizable impact, while the same move for a 30-delta strike out a week or more would produce negligible impact. "Somewhere in there" is a 10% result. :rolleyes:

    (Which also means that you can look this up yourself: go to the option chain, and match a 20¢ move with a 10% premium difference, and there you go. If you look at the closer expiries, the impact will be greater. (And the further expiries, the lesser.))
    James.DeGori likes this.
  3. Ryan81


    I don't see how a 0.06% move in SPY would cause 32 delta options to move by 10%. MAYBE If and only if those options were literally expiring on the very same day? But there would be an enormous theta decay headwind. Also in this case, it's a pretty damn directional play anyway -- and would be more cost-effective to trade ES or SPX...

    I call probably BS on this.