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Ol’ Wisco | He would have to buy 2.63 of the 360' puts to cover on his long futures position. So now you ve got 39.5' against every long futures to offset the delta. Yea it would work if we go lower you will cover the losses in your futures by selling excess delta but if we stay flat or go up his puts will bleed out premium faster than his futures will gain barring vol stays static.
The original long deep ITM call is the best thing if you don't like outright futures. | |
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Deep in the money corn calls as opposed to long futures?
