M minmike Oct 21, 2022 #11 Where can I find or calculate the front delta for expiration? Could be interesting.
Gambit Oct 23, 2022 #14 I know how to the get the Black Scholes delta but I don’t think that’s what you’re asking for. I am fairly certain that the BS delta or any Greek is incorrect close to expiration.
I know how to the get the Black Scholes delta but I don’t think that’s what you’re asking for. I am fairly certain that the BS delta or any Greek is incorrect close to expiration.
M minmike Oct 23, 2022 #15 In op #2 it refers to front delta needed to be hedged at expiration. How would one calculate that? I'm not big enough for a Nomura account. Anywhere else to find it?
In op #2 it refers to front delta needed to be hedged at expiration. How would one calculate that? I'm not big enough for a Nomura account. Anywhere else to find it?
Gambit Oct 23, 2022 #16 Good point. Not sure you can get an exact number but there are services such as SpotGamma and Squeezemetrics.
Good point. Not sure you can get an exact number but there are services such as SpotGamma and Squeezemetrics.
