Delta neutral positioning in elevated IV — worth it or overcomplicating?
Been thinking about whether delta neutral management adds real edge or just adds complexity. In elevated premium environments I find selling slightly OTM with defined risk outperforms complex delta hedging. Thoughts?
Posted by Sebastian_28saas
1 Comment
Not sure if it makes a difference empirically. Prob depends on regime and specific trade anyways.
Why do you find delta hedging complex though? Are you looking to continuously stay delta hedged? Not worth it imo, if you’re not a flow desk that can utilise the natural flow rather than active purchases. Transactional costs just eat you alive in that case 🙂