Katie and Pete examine various options strategies in regards to their degree of directional bias. They see how sensitive certain directional strategies are to an underlying’s movement.
· Calculated the initial delta on bullish strategies using /GC
· Analyze how deltas changes if the underlying tests the breakeven point (after 25 days have passed)
· Analyze how deltas of the strategy changes when the Futures prices test the breakeven (after 25 days have passed)
The delta of strategies with a naked component are more sensitive to changes in the underlying but have the benefit of wider breakevens. Also, the delta of defined risk strategies moves less but the strategies have a lower probability of success.