ES

Discussion in 'Options' started by James.DeGori, Jul 20, 2019.

  1. I was watching youtubes video's on trading and subsequently read the comments. One the comments were as follows ...

    "I've made a living buying out the money options with a 32 delta and all needed is a .20 cent move in the SPY to get 10% daily. "

    Can someone shed some light on this, whether it was calls or puts (I am thinking calls) and whether or not this trade would work?
     
  2. tommcginnis

    tommcginnis

    No help available. :(

    A 20¢ move for a 30-delta strike on the afternoon of its expiration would produce a sizable impact, while the same move for a 30-delta strike out a week or more would produce negligible impact. "Somewhere in there" is a 10% result. :rolleyes:

    (Which also means that you can look this up yourself: go to the option chain, and match a 20¢ move with a 10% premium difference, and there you go. If you look at the closer expiries, the impact will be greater. (And the further expiries, the lesser.))
     
    James.DeGori likes this.
  3. Ryan81

    Ryan81

    I don't see how a 0.06% move in SPY would cause 32 delta options to move by 10%. MAYBE If and only if those options were literally expiring on the very same day? But there would be an enormous theta decay headwind. Also in this case, it's a pretty damn directional play anyway -- and would be more cost-effective to trade ES or SPX...

    I call probably BS on this.