I am somewhat of a newbie. I only buy SPY calls and puts, and I am quite confused about how to pick the right strike price. From a theoretical point of view, if you wanted to buy $10,000 worth of Oct 2011 SPY calls, I think that you would take the current price of each strike, the commission you would pay to buy and sell the number of shares of each strike that equal $10,000 and then, using the Delta, compute your potential profit on a $1 move up in the underlying SPY price to see which strike price has the most profit potential from a $1 move. But, what I am finding is that the actual moves of prices at different strikes is very different from the Delta for each strike price. Take for example the $120 Oct 2011 SPY call and put. The call has a Delta of .56 but, with a .7 move in the SPY yesterday, it only moved up .23 (instead of .32 as the Delta would indicate), and the put has a Delta of -.43 and it moved down .56 or more than the Delta would have predicted for a $1 move in SPY (when there was actually a .7 move). And to make matter even more confusing (at least for me), the $130 Oct 2011 SPY call moved DOWN .03 with a detla of .26 on a day when the SPY was UP .7. The most profitable strike yesterday was the $119 Oct 2011 call, but I can see no apparent reason (except possibly that it had the highest volume) why it was the best performing. So, bottom line, how do I pick the best strike price taking into account commissions? Thanks in advance for any help.