Pictured here is a delta neutral ratio'd short strangle set up in the September '20 expiry. It pays 8.60 ($860) and has delta/theta metrics of 1.01/4.12, and extrinsic currently equal to the premium received of 8.60.
The purpose of this demo is to show how continuous delta hedging might work in practice on a premium selling setup. The goal is to bring the setup...