Weekly Market and Trade Update – May 13, 2012 May 13, 2012 by John Locke 2 Comments Click here to learn more about the Bearish Butterfly strategy!
Andrew Stanton says
The June BB shows a delta of 60 and theta of 31. Is that a problem?
The maximum Delta / Theta Ratio is 1.5 / 1. If you had a Theta of 30, then the Max Delta should be 45, so yes, if you are trading by guidelines, that is outside the acceptable range.
FYI, for faster responses, email me directly at firstname.lastname@example.org