He's short downside, so his gamma (at least expressed in % of unit-delta, not dollars) will go up as the underlying sells off toward that strike. You are very well organized, I'll give you that at least
Right. Delta is my primary metric. I do look at my theta numbers in a quick and dirty manner as @TheBigShort mentioned (if it gets too high it's a symptom of some other issue with balancing).
I'm sorry for asking dumb questions, but how can someone be Delta neutral yet outperform a trending market? How long are these horizons for this to happen - 30 to 50 years?
Lol, it was a genuine question. "Delta Neutral" doesn't really tell me anything. How is the portfolio ending up at delta netural? There are a million different combinations of strategies to end up at delta neutral. Which one's outperform or underperform in any given market environment in any given year is unknown to me.
Theta is probably the most telling greek. While everything can be misleading, if you receiving theta you are short risk somewhere. Delta neutrality just means that you are neutral with respect to the underlying direction at this instance. The idea, simply speaking, is to convert the exposure to terminal distribution (i.e. where the price will be on the expiration date) into exposure to volatility (i.e. how the price changes day over day).
One would think..... That said... you must be doing something right.... trust me on this one... because if you weren't, we'd all know by now. In a BIG way. God love him.
Sell straddles, sell 30 delta strangles, sell 5 delta strangles, buy stock and sell 2 50 delta covered calls per 100 shares, or sell 3 35 delta calls, jade lizards, iron condors, on and on I could go. Millions of different possible types and combinations of strategies. All are "portfolio delta neutral" and all would have vastly different risk and returns in the same year. Heck, have 2 people doing the same strategy and you get 2 different results. I've seen backtests on a handful of strats including short strangles(30 delta) and short straddles and they perform very well, even in trending markets, but that is still just a sliver of all of the different approaches one could take.