Hi All,
Just wanted to track how ratio spread works in options. I'm considering 2:3 ratio.
Strategy:-
Buy 2 lots ATM call/put and sell 3 lots OTM call/put.
This is basically trading the delta.
Example:-
Buy 2 lots 6300CE @ 103 (delta 0.39*2 = 0.78)
Sell 3 lots 6500CE @ 39 (delta 0.20*3 = -0.60)
We have difference of delta 0.18. That means if NIFTY moves 100 points up we get about 18* points. If it moves 100 points down will lose about 18* points
I will just track this kind of trade for Dec to see how it works intraday and positional.
Ideas, suggestions are welcome. :thumb:
*Not considered other greeks like Theta and Vega as of now.
Just wanted to track how ratio spread works in options. I'm considering 2:3 ratio.
Strategy:-
Buy 2 lots ATM call/put and sell 3 lots OTM call/put.
This is basically trading the delta.
Example:-
Buy 2 lots 6300CE @ 103 (delta 0.39*2 = 0.78)
Sell 3 lots 6500CE @ 39 (delta 0.20*3 = -0.60)
We have difference of delta 0.18. That means if NIFTY moves 100 points up we get about 18* points. If it moves 100 points down will lose about 18* points
I will just track this kind of trade for Dec to see how it works intraday and positional.
Ideas, suggestions are welcome. :thumb:
*Not considered other greeks like Theta and Vega as of now.