I bought calls with approximately 30 delta since that is a region with relatively low IVs and also where volga—positive convexity with respect to implied volatility—is maximized.
My intention is to rebalance the calls when they have either 3 months to expiry, or when the cash delta drifts too far from the target cash delta. (Defining “too far” to be a high bar here).
For the LEAPS call options, are you buying them in-the-money, at-the-money, or out-of-the-money? Do you roll them vertically or just horizontally?
I bought calls with approximately 30 delta since that is a region with relatively low IVs and also where volga—positive convexity with respect to implied volatility—is maximized.
My intention is to rebalance the calls when they have either 3 months to expiry, or when the cash delta drifts too far from the target cash delta. (Defining “too far” to be a high bar here).