Add training workflow, datasets, and runbook

training_data/relevant/text/491e367c87eae8cedf6f28fa31a88fd1acbe42270f0d18aa5f44d73979727350.txt

@@ -0,0 +1,44 @@
+Chapter 37: How Volatility Affects Popular Strategies 
+EFFECTS ON NEUTRALITY 
+755 
+A popular concept that uses delta is the "delta-neutral" spread a spread whose prof­
+itability is supposedly ambivalent to market movement, at least for short time frames 
+and limited stock price changes. Anything that significantly affects the delta of an 
+option can affect this neutrality, thus causing a delta-neutral position to become 
+unbalanced ( or, more likely, causing one's intuition to be wrong regarding what con­
+stitutes a delta-neutral spread in the first place). 
+Let's use a familiar strategy, the straddle purchase, as an example. Simplistically, 
+when one buys a straddle, he merely buys a put and a call with the same terms and 
+doesn't get any fancier than that. However, it may be the case that, due to the deltas 
+of the options involved, that approach is biased to the upside, and a neutral straddle 
+position should be established instead. 
+Example: Suppose that XYZ is trading at 100, that the options have an implied 
+volatility of 40%, and that one is considering buying a six-month straddle with a strik­
+ing price of 100. The following data summarize the situation, including the option 
+prices and the deltas: 
+XYZ Common: l 00; Implied Volatility: 40% 
+Option 
+XYZ October l 00 call 
+XYZ October l 00 put 
+FIGURE 37-2. 
+Price 
+12.00 
+10.00 
+Delta 
+0.60 
+-0.40 
+Value of delta of a 6-month option at differing implied volatilities. 
+90 
+80 
+70 
+.!!l 
+ai 60 
+Cl 
+C: 50 ,g 
+8° 40 
+30 
+20 
+10 
+60 80 100 
+Stock Price 
+120 140