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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 1202  
Subject: Delta, Theta, and Overall Percent Change Date: 10/2/2007 12:05 PM
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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?


Thanks!
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