回復 383# rcecbest 的帖子
rcecbest, that's pretty much a small butterfly consideration in choosing my deltas. technically you need to take into consideration of Vegas. Yours is not an easy question to answer, somehow a dramatic increase in IV may change your choice of OTM strikes radically, and you don't really need to consider the choice of deltas at all. I have solid examples of what I have done to Sept butterfly portfolio I have been managing after the surge of IV upto 30+ --> 26+, in the last 4 weeks. Details can be discussed in the BB forum in near future. Or if time allows, I could illustrate a bit in the class or after the class tomorrow.
in the nutshell, the degree of influence of Vegas in contract premiums is much greater than that of deltas, particularly for OTMs.