Abnormal Skew in Delta/Prob of OTM

Atikon

Atikon

I've been trading Options again and I'm getting unreal Delta to OTM Probability Ratios.

Call Side 0.3 Delta =0.85% OTM Probability
Put Side 0.3 Delta =0.55% OTM Probability

Both Sides had the same Implied Volatility.

How is this even possible? Is it because one Side gets purchased more? Shouldn't there be a Scew in IV too?

If this persists, Delta is useless to use in Backtesting.

EDIT: Ticker was AXSM

 
Last edited:
Where and how are you coming up with the % probability of OTM ??

Doesn't make sense..

30 Delta options should have an apx 70% OTM ..

What percent of Spot options are you comparing??







Atikon said:
I've been trading Options again and I'm getting unreal Delta to OTM Probability Ratios.

Call Side 0.3 Delta =0.85% OTM Probability
Put Side 0.3 Delta =0.45% OTM Probability

Both Sides had the same Implied Volatility.

How is this even possible? Is it because one Side gets purchased more? Shouldn't there be a Scew in IV too?

If this persists, Delta is useless to use in Backtesting.
More...
 
taowave said:
Where and how are you coming up with the % probability of OTM ??

Doesn't make sense..

30 Delta options should have an apx 70% OTM ..

What percent of Spot options are you comparing??
More...

Hi the Ticker was AXSM and I saw it last week in TOS.
 
I
taowave said:
Where and how are you coming up with the % probability of OTM ??

Doesn't make sense..

30 Delta options should have an apx 70% OTM ..

What percent of Spot options are you comparing??
More...
It's still at 58% for a 0.3 delta
 
Are you looking at Probability of Touch??

That's apx 2x Delta..

Edit..Saw your screen shot...Ill look at the Prob ITM calculation
 
From a TOS article..They seem to have their own home brew voodoo..

The calculations may be slightly different from the option’s delta, but the two readings are generally within a couple percentage points of each other. Either reading can be used to help define the trade's risk.
 
taowave said:
From a TOS article..They seem to have their own home brew voodoo..

The calculations may be slightly different from the option’s delta, but the two readings are generally within a couple percentage points of each other. Either reading can be used to help define the trade's risk.
More...
Yeah usually it will be between 2-3% not 15%
 
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