Yes, but might the returns be better relative to the price I paid? An ITM option will be far more expensive than an OTM option, or am I viewing this wrong?
So while it might not move 1:1 due to the lower delta, if it moves much at all and has enough time left to it, I'd think the returns would be stronger.
Running an experiment right now on some MSFT calls - one with a strike of $210 and another with a strike of $280. According to my calcs, I'd be up 171% on the deep OTM calls and up 67% on the ITM calls.
If I'm thinking this wrong, please correct me.
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