Risk reversal vs long underlying

Discussion in 'Options' started by tsznecki, Jun 2, 2020.

  1. tsznecki

    tsznecki

    Hi all,

    I have a view on SPX that is bullish > 1 year. I am looking at the trade offs between split strike risk reversal(eg. Dec '22 250p/330c) vs simply long SPY.

    As far I can tell except for delta, P&L is mostly the same > 3 months from expiration. Is there any benefit to one vs the other?

    I have no issue holding until expiry and would probably prefer to do so.

    @destriero