Ladder Defend Delta
Setting key
ladder_defend_delta
Default
0.45
What it does
Delta threshold that forces a close (defend) instead of a roll. When the tested short's absolute delta reaches 0.45, the bot evaluates whether to defend (close the position) or attempt a roll. Combined with ladder_defend_move_ratio, this is the 'defend vs roll' decision point.
When to change it
Lower to 0.40 to defend earlier and accept smaller losses. Raise to 0.50 to attempt to roll closer to the money, accepting more risk.
Safe range
0.35 (defend early) to 0.55 (defend late, more risk).
Example
Short put delta reaches 0.46. The ladder checks: is move_ratio also above 1.5 (abnormal move)? If yes, defend (close). If not, attempt a credit roll.