Breakeven option position

[Sheikran]

Hi ,



How do you get to breakeven values of a delta hedged option?

Are these values well +/- sigma*sqrt(dt) ?? How do you get to them, what's the reasoning?



cheers

[dantes]

if you mean continuously delta hedged option, then break even is when realized vols are equal to the vol implied by the price you paid for the option.