How to Manage Your Deltas In Options Trading

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[alphabeta]

2:30 Delta neutral
5:20 Long/short outperform neutral 8:20
10:00 Neutral underperformed

[dd-owpe]

9:28 "i'm like scooby doo" .. luv tony!

[tthaylor]

You can simultaneously be long and short on those structures and it will be equivalent to having two neutral strangles of delta 16 and 20 being recentered every 10 delta deviation. So the better results are not because you are being directional. It is due to the equivalence of recentering after a wider deviation.

[AlphaIII]

If the 16 delta gives the advantage in both directions then wouldn't a 16 delta neutral strangle win?

[djayjp]

Moral of the story: don't keep adjusting your Deltas every few days unless you want a worse outcome (notice how the pop is much lower than normal for all trades) and lean a little bullish.

[neuvocastezero]

Thanks for sharing the research results guys! Do either of you know of a second order greek that describes how theta changes? I've done a few searches, but can't find anything.

[lazchapman]

When trading as a market maker where you may have positions in most of the options in a stock, what the true overall delta position is can become complicated. Trusting an overall delta number that was spit out by a computer wasn't accurate or good enough.i developed a method that i called syntheticing out your position. after this process was done the true risk in a position became clear. it was great for risk management.The other two traders that worked for me had the same insight.

[Optioning]

long delta show higher pnl due to bull market?

[spencergrubb]

Short outperforming neutral on the Q’s doesn’t make sense if long was the only one that made money. I don’t think these findings are statistically significant.

[aaronnorton]

Tony: "I solved the case. I'm like Scooby Doo!" 😆

[loubob]

With that much statistical power why dont you let us know the optimal delta and skew to maximize win rate and P/L?

[tradingmedic]

Why dont you ever say when youll cover a trade for a loss?