Rolling Deltas forward

Discussion in 'Options' started by LionTrader, Apr 15, 2008.

  1. In SPX pit rolls are done right before expiration to offset deltas which will expire, but is that the only place rolls could be done?
    Technically it could be done in XSP electronically, but is it practical?
  2. MTE


    You can roll whatever you like, any way you like, whenever you like. There's no "magic" to a roll, it's just a roll.:D
  3. Since the SPX is cash settled you're right that on expiration you're net delta is going to change substantially since all the in the money options are going to settle into cash. The offset is either doing a deep time spread for fair value with someone who needs the opposite delta you need to replace or simply trading the futures on the closing. The problem with using the future to offset settling delta is that the SPX settlement is on the Friday opening print and you have a ton of slippage risk.
  4. Yeh, that's why we do rolls (or combo swaps) but my question is weather is doable anywhere else besides SPX pit. :)
  5. You can do them anywhere you like. Look at something like the SOX index those guys do them every expiration too.