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This really helped. However, delta is also a function of volatility and time to expiration

Yes it is June... And yes.. The question is this exactly. I would expect same deltas to have equal prices, but they haven't. I am trying to figure out why

I 'll give an example so that I make sure we are on the same page here. - 1920 May s&p Call, delta 0,08 , price 1.50 - 1960 May s&p Call, delta 0,08 , price 2.50 So, there is a $1 premium holding the 0,08 Delta June call relative to the May call.

Yes... This is exactly the issue. There is a 'time decay' in delta and that reflects into the price. It is totally a mathematical issue. I just cannot grasp the whole idea from a theoretical standpoint...

I have to come back to , essentially, the same issue looking at it from a more theoretical perspective. What is hard for me to understand is why the price of a same delta option varies with time. Why does the price of a 0,05 delta 1 month to expitarion have to be different than a 0,05 delta 1...

I am actually more interested in far OOM options like 0,10 or 0,05 delta. Thanks anyway

Thanks but my issue here is not to adjust the price, but to see how the time decay affects the price of the option, if we keep the delta constant. An appropriate excel model surely would be a solution...

I am selling strangles in S&P and Nasdaq with about a month to expiration and deltas between 0,05 and 0,10. I am particularly interested in figuring out how the option prices change in relation to time, keeping the delta constant. For instance, the 1940 May Call has a delta of 0,10. What will...

I guess you are right.... It's Reg-T, but this doesn't realy change anything. This is really messy

I am selling strangles on SPX and NDX in Interactive Brokers. The thing is that I am really frustrated with these weird SPAN margin requirements. It is not only that the margin is too big, it's also that a lot of weird things are happening and I can give no explanation at all. For instance...