Being delta neutral sounds great in theory; traders aim to set up options positions and portfolios that remain impervious to market moves while collecting.
But in practice, it is a bit more involved than that.
In this segment, our Research Team analyzes the results of rollingevery 1, 2, 3, 4, 5 days to see how this type of management would influence a position's drawdowns and volatility. Taking it one step further, the team also examined how commissions impact the Profit/Loss of this method. Is rolling every day a cost-effective way of managing directional risk?
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the interesting takeaways.