hi, could anybody tell me the next thing. If for example I want to trade an Index or Futures Option with Synthetic Call Long strategy which suppose buying a put + buying an underlying. So the question: if i buy 1 put, should i buy 100 Index/futures contracts like in the case if I bought a stock option???
Let's say you're talkinga bout the SPX (S&P 500) options at the CBOE. One at the money put = 50 deltas, so to hedge that you would buy 1 e-mini !!!!! If you're talking the NDX (Nasdaq 100) at the CBOE, again, one ATM put = 50 deltas, so use 2 or 3 e-minis to hedge because each ND e-mini is 20 deltas. Hope that helps Vega
thank you for your reply, please could you provide more details on the calculation ?? how should i calculate delta ? and how can one say the option equals "n" delats ?? what is the calculation ??
delta is roughly the probability of the option will be in the money at expiration. if you need to ask these questions, you shouldn't be trading options. The CBOE and other exchange web sites have info on the basics of options. You should start there. If you do know option basics, then you're strategy would probably be best served by buying the naked call or put. You'll save on commissions and you'll probably get a better price than legging into things.