Beta-weighted delta (or beta-adjusted delta) is a normalized delta that is comparable across different assets when measuring directional exposure. It is also sometimes referred to as “portfolio delta” because that is its primary use: helping an investor understand how much the portfolio’s profit and loss (P&L) will change in relation to movements in the index. … Read more
As shown, the iron condor, butterfly, and calendar are all delta-neutral option income strategies, which are so-called “non-directional.” But are they really non-directional? Their current profit and loss line (also known as the T+0 line) has the concaved downward curve typical of such strategies. The current price dot of the underlying is at the top … Read more
When selling out-of-the-money put credit spreads for premium, one of the most important questions to ask is what delta to sell them at. Contents As a review, here is a put credit spread on Microsoft (MSFT), currently trading at $429: We are selling two contracts that expire 34 days out on February 21, 2025, with … Read more