Flying deltas aren’t quite as bad as flying monkeys, but look out anyway.
Download Advisors Option 57: Beware of Gamma and Flying Deltas
Options 101: Gamma: Measuring the Changes in Delta
- What is the relationship between gamma and Delta?
- What are the properties of gamma? What is put-call parity?
- At the money options and gamma? Out of the money options and gamma? Time and gamma?
The Buzz: The low volatility regime continues: 7 of the 11 days in the past 20 years where VIX has been below 10% have occurred since mid-May 2017. Two studies, two different conclusion about alts & hedge funds.
Office Hours: Listener questions and comments:
Advisors Option Flash Poll. With $VIX hitting new lows and $SPX new highs, what is your financial advisor telling you about using #Options?
- Write covered calls?
- Buy protective puts?
- Do Both – Use Collars
- They Won’t Touch Options
Listner Questions:
- Question from LCB – Hey guys. You mentioned on the show that this is a challenging time to sell options due to low volatility. So does it stand that the opposite is true? Is it a good time to buy options? Particularly protective puts?
- Question from TIM D. – How high do rates need to be before I need to worry about rho?