Being delta neutral sounds great - remain impervious to market moves while collecting theta decay.
But in practice, it is difficult.
In today's segment, Beef joins the guys to discuss this concept.
Using a few different methods and metrics, the Research Team looks to determine if rolling at a particular frequency to rebalance directional risk is worth the cost.
What the study finds is not only is it difficult to stay delta neutral, it also can be quite expensive. Definitely a market measure you do not want to miss!
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