Convexity, Options Trading, Volatility Trading, Moontower, Option Greeks.
is long 10,000 deltas now. At $100, your delta per $1 change is $10,000 not $5,000. Here’s the delta of that 1 year 50 strike call at different stock prices. Contrast this with the stock owner, who still has just 5,000 deltas. Pure stock is a linear exposure. Linear instruments have constant slopes