Message Font: Serif | Sans-Serif
UnThreaded | Threaded | Whole Thread (3) | Ignore Thread Prev | Next
Author: MainiacJoe Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 1221  
Subject: Delta, Theta, and Overall Percent Change Date: 10/2/2007 12:05 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 0
My question involves choosing long calls for speculating with a trading strategy using time-based exits, where the system chooses the underlying and the entry point but the exit is a timed certain handful of days later instead of based on a technical trigger.  Here are the observations I don't know how to balance:

Since the timeframe is fixed, you'd want options that have a long time until expiry so that theta is low.  At the same time, theta is only low when the time premium is large, meaning that changes in the the intrinsic value that the trading system is targeting have less impact on the option's overall value.  Where is the sweet spot for highest delta, if the time that the option will be held is fixed: in or out of the money, and long or short time until expiry?

Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (3) | Ignore Thread Prev | Next


Foolanthropy 2014!
By working with young, first-time moms, Nurse-Family Partnership is able to truly change lives – for generations to come.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.