Dear forum members, I have a long position in RDSB which I secure with put options. I manage this long position by adding delta's when going down (buying stocks and or selling puts/ rolling puts lower) and removing delta's when going up. (buying extra puts, rolling puts up) My question is regarding when the underlying goes down; When rolling puts down my gut feeling is to use the convex character/ increasing gamma when out of the money put options go towards ATM. (I sell my ATM puts and exchange them for more out of the money puts for example 20 or 30 delta puts and add extra stock) My question: Do the more experieced option traders have an advise on what the sweet spot is for rolling them down, should I exchange 50 delta puts for out of the money 30 delta puts, or is that to simple? Or is it better to look more at the portfolio greeks? (and add/ maintain a specific amount of delta or other greeks?) Thanks in advance!
You might be able to test this yourself. Try different deltas, etc. Give it a shot! https://www.orats.com/backtest-scanner/