Abnormal Skew in Delta/Prob of OTM

taowave said:
Ild look at high vol stocks vs low vol stocks to see if they make some sort of an adjustment.
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No mate I only sell Options on high IV Stocks, they are usually at around the IV LvL that the AXSM is right about now
 
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 =0.55% 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

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Dude, c'mon. Price the synthetic. And we have a file host here on ET. It's 2020.
 
The delta/ probabilty correlation is just that. A handy approximation. Certainly not accurate enough for back testing. I can't imagine anyone who is trading professionally use those percentages.
 
PoopyDeek said:
Dude, c'mon. Price the synthetic. And we have a file host here on ET. It's 2020.
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Can you elaborate on that? Call and Put ATM Prices are the same, how am I supposed to come to the scew if I price a synthetic Call/Put?
 
minmike said:
The delta/ probabilty correlation is just that. A handy approximation. Certainly not accurate enough for back testing. I can't imagine anyone who is trading professionally use those percentages.
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edeltapro.com only uses Delta for it's backtesting
 
Atikon said:
nvm be on your way
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LOL. I worked in the SPX. I'm sure there are some people who know more about options on here, but not many. I told you pros don't use those calculations and you through up some BS website and pretend it means something. Best of luck.
Ignore.
 
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