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My answer: None.
Why: You give up opportunity cost that you don't need to give up.
I have a more fundamental issue with this strategy: Why sell options at all?
a/ If you sell ITM options, deltas decrease as price moves in your favor so
you get less bang for same risk.
b/ If you sell OTM options, same thing.
If your desired risk = futures position risk to start with, why not sell /
buy futures and keep 100 deltas in your favor all the time?
Now you may say, "I'll sell double when delta = 50" - well, you just doubled
the risk so you might as well double the futures position and make more
money...
Hence, opportunity cost.
Gitanshu
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