Tuesday, April 12, 2011

Two call options combos’ difference when facing strong resistance ahead: 134~135

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Combo 1: +2, June 17 132 call; –1, April 15 133 call. Combined delta = 0.9844-0.2333 = 0.7511, cost 6.84 – 0.26 = 6.58

Combo 2: +2, June 126 call; –1, April 15, 132 call.  Combined delta = 0.7132 * 2 – 0.4139 = 1.01, cost 7.60*2-0.65 = 14.55

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