Hi everyone, I am stuck at creating delta nuetral strategy.
I want to select strike price based on Delta of traded instrument.
Please guide me. Is it correct ?
Hello,
It appears that you want to select a PE with strike having delta same as that of Bank Nifty CE position already taken from Repair Once condition in set 2, condition no. 2 and leg 2.
If this is the case then in Find Strike, in Field select “delta” and in Value select “Math Operation” and click on OK.
Then select the expiry you want.
Then click on Math Operation, and there under Number1 select “Delta” (here D is capital), under Number2 select “Number” and under Operator select " * " (multiplication symbol). Click on OK.
Then click on Delta and under Instrument select “Traded Instrument Name” and click on OK.
Then click on “Traded Instrument Name” and point to the Traded Instrument you want.
Finally click on “Number” and enter “-1”. (We are multiplying by -1 because Delta of CE is negative and that of PE positive).
It would finally look as under:
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