Call option and put option delta different

#11
My feeling is, that your got fancied with this concept " Delta neutral " and missing some basics.

Will that above trade give profits -
where is a trade in that ? Please Give a example ( Fut/CE/PE - Buy/Sell ?)

No. Generally Nifty move of 10-20 points can not yield returns through hedging delta ( Expiry days may be exception to this )
HI Mohan .. Thanks for patient answers..
Here I meant buy both both options 11500 PE and 11700 CE in expectation that if Nifty moves either way we can make profit ?
As can be seen from the calculator all other factors like gamma, theta and Vega are the same so theoritocally we shpuld be able to make profits but practically that is not happening ..:(
Also sir.. Is there a phone number for you that I can call , Pls.. It will be easier to call and talk if you dont mind .. Iam in chennai India..
 

mohan.sic

Well-Known Member
#12
HI Mohan .. Thanks for patient answers..
Here I meant buy both both options 11500 PE and 11700 CE in expectation that if Nifty moves either way we can make profit ?
As can be seen from the calculator all other factors like gamma, theta and Vega are the same so theoritocally we shpuld be able to make profits but practically that is not happening ..:(
Also sir.. Is there a phone number for you that I can call , Pls.. It will be easier to call and talk if you dont mind .. Iam in chennai India..
sir, what gamma, vega, theta are same and so theoretically we should make profits. :spam: What is this theory and where did you read this ? . Seems you are assuming these option greeks as some super tools of trading and making up these Ideas and theories.


Not related to above greeks topic but in general " All factors are good but trade is not working" . This is wrong idea. All factors are good when we entered the trade. But factors keep changing and so the result.
 
#13
1) Just by initiating a delta neutral position ( in any combination of Future/CE/PE either Long or short ) there is no guarantee of profit.

2) Option calculator in zerodha should be 100% perfect. No need to doubt any calculator from any website/broker. Problem is in our approach and understanding.

3) If you Buy 2 Futures and 5 OTM. ( Agreed it is a Delta Neutral position )
Positional -Lets assume Nifty is very flat for 3 days or it went up/down and came back to same level.
Now we will be at break-even in the Future position. But Long put options position will loose Time value. Hence Net Loss.
Intraday - There is no use unless there is a decent directional Up-move. Even if that happens, there
are chances that you could end up in Net Loss Eod if put iv decreases ). And If Nifty is
in Down- move coupled with a decrease in put iv's, there are absolute chances you will end up in Loss.

So why do you think initiating a Delta neutral position is No Loss method.

Delta neutral trading is not one time entry and watch method. As the market moves, our positions net
delta keeps changing and adjustments have to be done to bring back delta to neutral position.
This helps when you are selling options positionally ( we keep adjusting the positions delta to neutral and gain from time decay) But again this is not as easy and simple as discussed on paper.

But from your writing, I see that you are planning intraday trades by Buying Options. How do we make
profit from a delta neutral position in intraday ?
A simple example can be buying a ATM call & put at appx at same rates.
Lets assume Nifty Future is at 11000 and we buy Strike 11000 CE & PE at Rs.80 each. In theory the Delta
of CE will be +0.5 & for pe -0.5 . As nifty moves upside - call is moving ITM and Put is moving OTM -
This means Delta of Ce increases and Delta of Pe decreases- Means this ITM CE price will increase at a
faster rate than the fall In the put price. So here you make profit only when there is a good and reasonable
directional move in Nifty + No fall in PE imp vol and No time decay effect.
-----------------------------------------------------------------------------------------------------------------------


Hello Everyone,

I am been using this Delta neutral strategy for a while in which buy a Fut and simultaneously buy 2 lot ATM PE or vice versa.Mostly in stocks I see intraday if movement for stocks comes 2% from our initiated position than we might see a profit and if C/F than it should require least 5% movement,in indices it never gives profit in Nifty but in BN it may give if it moved 2% trading it's weekly options.
So it's correct unless we do not have a trade initiated in a trending stock/equity or CDS this delta neutral strategy fails.
Now I am thinking about to do with writing options instead of buying them,that is for example if long in 1Fut sell 2 ATM Ce and if short 1FUT sell 2 ATM PE on last couple of days of expiry in weekly settlements.Do share the inputs.
Thanks
 
#14
Thanks a lot Rusty..
I have a follow up question ..I wanted to setup a delta neutral trade so that I can profit either way the underlying moves( specifically Nifty index )..but so far I have not been successful, because of this delta skew between call and put of same strike ..
I tried different combintaions like buying a near OTM put and buying a far OTM call so that delta's match, but that does not give me any profits if Nifty ( India market index ) moves in either direction.. The reason I feel is because far OTM call responds slow to price variation than near OTM put ..
So I started doubting the greeks provided by Zerodha calculator itself .. do you think it is accurate for Indian market ? Asking as look to be a pro in options.. If zerodha BS calculator is not accurate then which is accurate ?
So for the next directionless strategy Iam planning to combine a future with near OTM put and see whether that gives directionless returns .. buy 2 futures and buy 5 near OTM puts so that deltas nearly match.. Hope that will work . Any comments from your side ?
Also do you have any good directionless returns strategy for index or stock ?
Hi, thanks for replying.

It seems that you're beginning to learn about options. Being delta neutral doesn't guarantee profits; otherwise everyone would be. You could be only delta neutral at a given point in time. As time passes, delta would change (even if nothing else changes). Being delta neutral is favorable for option sellers, but hardy for option buyers.

I'd recommend getting a basic textbook for understanding options and greeks, or use YouTube. You'd get a clear picture of where you are going wrong.

Take care.
 
Last edited: