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Futures Measures

Degree of Directional Bias

Futures Measures

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.

STUDY:

· 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)

RESULTS:

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.

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