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Thanks for all the guidance between the blog posts and forum - they have been instrumental tools in expanding my knowledge when trading puts!

One question in how to calculate delta across positions. Currently, I target a 5 delta when selling puts. If/when that delta declines ahead of expiry, I usually sell another option. For example, when the first option drops from a 5 delta to 1 delta, I might sell another put at a 4 delta. Is it fair to add the two contract deltas to be 5 delta total, or should it be averaged?

How does this work if selling puts across different multipliers but within the same underlier, like ES/MES? Would it be Multiplier x Delta divided by total so [(50 x ES Delta) + (5 x MES Delta)]/55?

Trying to figure out how to measure my risk as with my portfolio, I probably will be trading a mix of ES/MES puts to get to target leverage.

Generally portfolio delta is multiplied by the relevant multiplier to calculate delta to adjust for scale and number of contracts. So a 5 delta option really says 0.05 and would be 5 delta SPX, 2.5 delta ES, 0.5 delta XSP and 0.25 delta MES. Multiply by the respective number of contracts as well then add.

I am not so strict on delta myself even if I do something generally like what you’re doing. Sometimes I’m below 5 and sometimes I’m around it.

You can certainly calculate the **weighted** average Delta with the formula you used. You could also compute the **total** Delta as 50xESdelta+5xMESdelta (i.e., without dividing by 50xES+5xMES) to gauge the total portfolio exposure, i.e., how many $ your portfolio will move with each ES or SPX point.

Don’t forget that two portfolios with the same weighted average delta could behave quite differently. A portfolio with one ES put at 1 delta and one at 9 delta isn’t the same as a portfolio with 2x5 delta!

Thanks both of you, this has been very helpful! Agree completely on the how same weighted average delta isn't the same - trying to figure out an appropriate framework for me to estimate risk on my trades as I get closer to expiry and underlying price changes.

Real world examples -

- I'm using $6500 portfolio until I get a good handle, trading MES. Figure its low risk and once I have my confidence, can put more money behind it
- I typically sell 1 contract on Fridays for following week expiry, targeting a 5 delta. I figure this starts me at 3.25x leverage
- If market moves in my favor and as I approach expiry, I look to sell additional contracts. If they don't, I hold with the one contract during the week
- I stopped closing out the contract because I typically wait until the delta has fallen to .01 or .02 before selling another contract. It also costs me $0.47 commissions to close it out, which eats into the returns.

- Weekly example:
- On 6/18, I sold a 4000 put at ~5 delta
- On 6/22, that 4000 put had dropped to around a 2 delta, so I sold a 4030 put that was around a 2-3 delta
- Today, both those put deltas were nominal (.001 and .002) so I sold a 4205 put around a 5 delta

I know I have more risk than I did with just the 4000 put, but to me, that is primarily driven by leverage (I am more like 9.8x levered vs. 3.25x since I am holding 3 contracts). The risk I have as it relates to options moving ITM is much less and I would say is still around that 5% overall given the combined delta across all 3 contracts. Is that a fair way to look at it or should I be thinking about it differently?