Delta is an important option greek and a gauge of directional risk. How do strategies compare if they have similar initial risks? For example, how are the performances of 16 delta shortversus 16 delta unbalanced Strangles?
In today’s study, we compare the results of two following strategies in SPY:
- Short 16 put
- Short 30/14 delta unbalanced (https://www.tastytrade.com/tt/learn/delta)
We tested the performances by using three different methods. The results are very interesting and convincing. Watch this segment of “Market Measures” with Tom and Tony for the thorough analysis and takeaways.