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 stayneutral, it also can be quite expensive. Definitely a market measure you do not want to miss!