UnThreaded | Threaded | Whole Thread (13) | Ignore Thread Prev | Next
Author: KBGlenn 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 11015  
Subject: Re: Phillysites Date: 12/10/2003 7:02 PM
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Recommendations: 0
If you expect a big move, buying OTM makes some sense, concentrating on the gamma rather than the delta. As the stock moves in your favor, the delta will increase and the gamma will decline.

This is the type of strategy you'd employ if you intended to hit homeruns. As the stock moves in your favor the high gamma will push the delta up pretty quickly. On the downside, if the stock only moves a little in your direction, it's not going to do much for you with the low delta. Atleast, the theta is a nonissue that far out.

Right...I suspect the author, who is very knowledgeable, was looking at an interplay between gamma and delta to give him max leverage for a period of time...I need to run the math sometime to try and figure out exactly what he was doing. I understand the basics of his strategy, I just suspect there was more to it than is transparent on the surface.

Cheers Kev
Post New | Post Reply | Reply Later | Create Poll Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (13) | 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.
Post of the Day:
Berkshire Hathaway

Reconsidering IBM's Moat
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.