Friday Delta Hedge

Fri, Jan 28, 2011 | superuser


The net delta column on the Portfolio page has been updated. For a trader using our risk-adjusted position sizing method and risking $5000 per iron condor trade, the net portfolio SPY delta for February should be about -244. That exposure can be eliminated by buying 244 SPY shares; or if you are following us in trading combo positions to maximize capital efficiency:

  • Buy 2 SPY Feb 127 calls and sell 2 SPY Feb 127 puts (the 127 combo) for a net debit of $0.70.

Traders who are very new to options trading may be advised to trade using paper accounts. Deltas are updated using live data, but are prone to change quickly in active markets. Because of the complexity and portfolio / margin considerations involved, these notices are not distributed to our autotrading partners.

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More


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