Gorilla and King Portfolio Candidates Message Board

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Strategies & Market Trends : Gorilla and King Portfolio Candidates

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To: Will Hou who wrote (4012)	7/19/1999 8:39:00 AM
From: Wyätt Gwyön	Read Replies (1) of 54805

Will re: LEAPS, Thanks for expanding on what I said and making some corrections (I was hoping someone would do that!). One question: I was under the impression that the delta for in the money calls is pretty close to 1. As calls go (hopefully, from the perspective of the owner) deep into the money, it makes sense that there would be something of a drop in the delta, insofar as there is probably less demand for deep in the money calls which require greater capital outlay for purchase. But obviously (I thiiink) the delta cannot fall off 1 so far that a significant rise in the stock price knocks the time premium to zero or negative. If that happened, I would think people with smart stock screens could just arbitrage by buying calls and executing them and keeping the negative premium difference. Can you clarify on this issue? In any case, the greeks (delta, etc.) is stuff I definitely need to learn more about. Thanks also for your tip on the Option Council toolbox; I will definitely check it out. Best, Greg

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