DELTA DOESN'T CUT IT Just a quick post about managing risk in an equity derivative portfolio. A great deal of attention is given to option Greeks when discussing risk management and rightly so. Greeks are useful tools to delineate the risk of a singe option. We know delta is the first derivative of the option pricing function and describes the linear change in the price of an option given a change in the underlying security... this is a good thing to know. But what happens when we structure trades using multiple options? A few months back, I wrote a piece on using vol skew to structure a bearish position on the SPY: http://tancockstradingblog.blogspot.com/2017/12/using-vol-skew-to-short-raging-bull_5.html Here, I showed how shorting mispriced options can be an effective way to structure a trade to capture market drawdowns. The example used was to short 23 contracts of a 30 day put that was far out of the money and buy two individual puts closer to the money (the SPY wa...