Studying for the CFOA exam and went down a rabbit hole on short strangle delta
u/FinCosmos ·
Reddit — r/options
· May 27, 2026 at 12:21
· ⬆ 18 pts
· 💬 12 comments
| View on Reddit ↗
No analysis available.
Score18
Comments12
Upvote %96%
▶ Full Post Text
My brother has been working through material for the CFOA (Certified Futures and Options Analyst) and one of the concepts around volatility and delta got me thinking.
If you're short a 16 delta strangle on SPY, 30 DTE, and IV spikes 40% overnight due to a macro event, both sides still OTM, what happens to the net delta of your position and why?
My first instinct was "stays roughly neutral, still OTM on both sides." He disagrees. And the more I thought about it the less obvious it became. So definitely interested how everyone sees this.
Also for those who have recently taken the exam, have you encountered any 'open to interpretation' questions like these?