Double dutch

Let the long future at delta +1:


the 10400 call has approx 0.5 delta
my 10500 call, sold, approx 0.4 delta
the 10600 call has approx 0.3 delta

if the market rises 100 points, breaking the last high, my position will have a 0.5 delta, so i will gain or lose 50 eurocent per point.

if i sell a 10600 call, i will cash 65 euro at expiry, making my position delta neutral within 100 points (0.5 delta of 10500 and 0.4 delta of 10600)

Well, if I talked double Dutch, I’d have sold it.


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