Long gamma

Discussion in 'Options' started by mrwoody, Oct 6, 2009.

  1. mrwoody


    Hi *.
    Assume that I want to Buy 5 Google Puts @ 490 and I want to buy as many shares of Google as I need to get the total delta =0.
    Is there anyway to do that with a single order @ limit using thinkorswim?
    How about IB?

  2. MTE


    You need to buy about 250 shares you be delta neutral.

    I tried in thinkorswim using the ctrl key, but it doesn't let you create a custom "covered" spread, and I don't see any other way of doing it as a single limit order. You could use the "1st triggers All" with the option order as the first one, but that's not really the same thing.
  3. mrwoody


    Thanks for your reply.

    That would work if I want to buy around 250 stocks. But if I want to be more precise (to get total \delta~0), it seems to be impossible.

    Does anyone know if any other broker (e.g. IB) would allow that?
  4. MTE


    What do you mean it wouldn't work if you want to be more precise? By the way, 250 shares is pretty precise based on TOS, well 240 is more precise if you take into account premarket price of GOOG. In any case, delta neutrality is not a static thing. At yesterday's close it was 250 shares, now it's 240 shares...
  5. mrwoody


    well because I don't know how much I will be able to buy the put for. Delta will depend on that.