If I have to buy 880 shares of WEAT for a trade, how would that look in terms of options?
Eg, for Jul 21 exp, I could get 15 contracts to have 880 delta, but then gamma is high. If I look at expected movement to 1SD, then it's +/- 1.28; this means I can account for the min/max delta with gamma factored in.
So if my max risk is $200, this seems like I need to buy only 4 ATM contracts to have the right risk profile. This puts my total cost to $420 instead of $6200, but that seems like a really big reduction in upfront capital. It can't be right, can it?