Where can I find the stocks with highest Delta?
Highest Delta
- Thread starter Lord Darkseid
- Start date
All stocks have delta=1.0
I guess you mean options
https://www.investopedia.com/terms/d/deltahedging.asp
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Delta Hedging With Equities
An options position could also be delta-hedged using shares of the underlying stock. One share of the underlying stock has a delta of one as the stock's value changes by $1. For example, assume an investor is long one call option on a stock with a delta of 0.75—or 75 since options have a multiplier of 100.
In this case, the investor could delta hedge the call option by shorting 75 shares of the underlying stocks. In shorting, the investor borrows shares, sells those shares at the market to other investors, and later buys shares to return to the lender—at a hopefully lower price.
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All stocks have delta. The delta of all stocks is 1.
I presume you mean beta, IV, or RV... Pretty much all screeners have some measure of past volatility that you can sort by.
stocks don’t have IV. options do.
Yup. The point is one measure of forward vol on a stock is the IV of an option on it.
I.e. my reinterpretation of his question was "how can I find stocks that will be volatile"?
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Every option on a stock has a different IV.
Which is why you make composite indicators (or if lazy like me use someone else's).
A well known example not in the stock but index space would be VIX.
i'm being pedantic but that's not the same as the Ivol for the stock.