Market Measures

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Rebalancing to Remain Delta Neutral

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Being delta neutral sounds great in theory; traders aim to set up options positions and portfolios that remain impervious to market moves while collecting theta decay.

But in practice, it is a bit more involved than that.

In this segment, our Research Team analyzes the results of rolling Straddles every 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.

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