Trading Gaps with High Delta

Discussion in 'Options' started by JavaBen, Oct 9, 2006.

  1. JavaBen

    JavaBen

    I've recently been doing some trades with earnings or news gaps, seeking out strikes with .75 or higher delta.

    It appears that I'm getting the option without paying much for the theta, and gamma is about gone; looks like vega is low too.

    Anyone have any experience trading this approach?