In the original OptionVue program guidelines, when fully scaled in and at a roll point, a model check is to be made of the resulting position delta after the roll. If the modelled resulting position delta is less than -100 (too positive), the roll is either to be delayed until the resulting delta meets this guideline, or the lowest butterfly is to be removed, depending on current position delta.
In the 2020 program update, all OptionVue delta limits are cut by about 30%. This rolling position delta number is not mentioned in the update; is it also reduced by 30%? What about ONE guidelines for modelling the roll? What would be a corresponding ONE delta number? In the ONE trade example that John presented in the update, many rolls are executed, and John never models the proposed roll delta before executing it. Are we simply in an environment where this delta check is of no concern?
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