delta depreciation

[tradingjournals]

Quote from saminny:

. Anyway thi is irrelevant to this discussion thread.

.

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If you find something not relevant in my post, please feel free to remove it.

I would also like to add that I find your thread interesting, and contains useful material. I hope to learn from the post of others including your posts. Good thread you have started!

 

[MTE]

Quote from tradingjournals:

I am offended and injured by the last sentence. My desire to give is shaken, and my knowledge may have been erased by the shock.

You never even had the knowledge so nothing was erased.

 

[spindr0]

Quote from MasterAtWork:

Okay I think I got it

You derived it like that:

2*spot*(delta-0.5)

ATM, N(d1) and N(d2) are symmetrical around 0.5. That means, N(d1)-N(d2)=2*(N(d1)-0.5)=2*(delta-0.5)
Because there is 0 cost of cary, ATM S=K
And a call is

C=SN(d1)-K(Nd2)
C=SN(d1)-SN(d2)
C=S*2*(N(d1)-N(d2))=S*2*(delta-0.5)

Am I missing something ?

If I asked you for the stock price, strike price, premium, time remaining until expiration, volatility and carry cost and told you that I could tell you the implied volatility, would you be impressed? Of course not because you understand what the BS formula is and how it is used to derive that.

LOL. This is nothing unique nor is it intellectual property. It's simply the iteration of two inputs, volatility and time which yield an already known answer (delta).

 

[MasterAtWork]

Quote from spindr0:


LOL. This is nothing unique nor is it intellectual property.

I do agree. Knowledge has to be shared. That's why I posted the derivation. There is no secret here and I wonder why Tradingjournals wanted to make it a mystery.
The second point is that it's useless. As far as you put some rates in it, as in real life, things start to get really fuzzy.

 

[Jerkstore]

Quote from tradingjournals:

if I know the delta, I can tell what the price is (without knowing volatility, and time, assuming no cost of carry).

No, you can't.

 

[spindr0]

Quote from MasterAtWork:

The second point is that it's useless. As far as you put some rates in it, as in real life, things start to get really fuzzy.

Exclusion of rates is a time dependent fudge factor

 

[Jerkstore]

Quote from spindr0:

It's simply the iteration of two inputs, volatility and time which yield an already known answer (delta).

Except that TJ is delusional, and armed with half truths. He claimed to be able to give the option value without knowing the time to expiration--not possible.

Reverse crunching BSM formulas is part of what most models do. It is far from unique, or patentable.

 

[tradingjournals]

Quote from MasterAtWork:


The second point is that it's useless. .

The expression "I find it useless" and "It is useless" have two different meanings unless the last expression is proved to be true independent of the person making the statement.

I would be interested to read a proof/argument if it is NOT meant "I find it useless".

 

[tradingjournals]

Quote from charts:

You're great ...

Thank you, I am flattered!

 

[tradingjournals]

Quote from Jerkstore:


Reverse crunching BSM formulas is part of what most models do. .

Could you share with us some of your exploits in reverse crunching of BSM formulas? Thanks.