Hi everyone, Hi Coach
Just want to say how I m sure you know options Coach and I really like the way you theach, but...are you quite sure that delta maxes at 1.00 ?
Negative Theta Options over Weekend
- Thread starter TraderGreg
- Start date
Hi everyone, Hi Coach
Just want to say how I m sure you know options Coach and I really like the way you theach, but...are you quite sure that delta maxes at 1.00 ?
Hi guys,
I'm kidding....not sure.
The point is that almost everyone think that delta maxes at 1.00, but, it depends on the type of the option you talk about.
Without talking about barrier options with spot that comes near the barrier, a simple european plain vanilla call could exhibit a delta that is more than 1.
Let's get the math:
delta is given by: exp (p-r)T*N(d1),
where p is cost of carry , r is risk free rate, T maturity and N(d1) cumulative normal function, d1=(ln(SPOT/STRIKE)+(p+square VOL/2)*T)/vol*squareroot(T))).
So if you're deep in the money N(d1) approaches 1 and p>r, then you've got exp (p-r) that is more than 1 and the delta is more than 1
I'm kidding....not sure.
The point is that almost everyone think that delta maxes at 1.00, but, it depends on the type of the option you talk about.
Without talking about barrier options with spot that comes near the barrier, a simple european plain vanilla call could exhibit a delta that is more than 1.
Let's get the math:
delta is given by: exp (p-r)T*N(d1),
where p is cost of carry , r is risk free rate, T maturity and N(d1) cumulative normal function, d1=(ln(SPOT/STRIKE)+(p+square VOL/2)*T)/vol*squareroot(T))).
So if you're deep in the money N(d1) approaches 1 and p>r, then you've got exp (p-r) that is more than 1 and the delta is more than 1
Quote from MTE:
This thread is getting funnier by the day!
Well, ...I hope so...
It's not a competition, but my point is just that what is obvious for some people is not for everyone, and what everyone think is obvious might be not.
I'm really happy the way people keep cool as someone is wrong, and the way for example Coach try to explain (even if it takes a while for).
Option are complexe for all of us, that 's why is exciting.
Cheers
master,
For the context of this board an options delta will not exceed 1.0
I agree this can be a fun an interesting place for open minded people and people who are seriously looking to learn. Obviously for a bunch of us options are not only a business but a passion.
Ask me to speak and I will go on for hours about options/markets, hockey or old Porsches and vintage racing.
I find it troubling when I encounter some people who portray themselves as something other then their posts indicate they are. Its my beliefe they do a dis-service to those who are actually trying to learn here. On the other hand its the internet and some people cant handle the anonymity of it.
Have a good day,
X
For the context of this board an options delta will not exceed 1.0
I agree this can be a fun an interesting place for open minded people and people who are seriously looking to learn. Obviously for a bunch of us options are not only a business but a passion.
Ask me to speak and I will go on for hours about options/markets, hockey or old Porsches and vintage racing.
I find it troubling when I encounter some people who portray themselves as something other then their posts indicate they are. Its my beliefe they do a dis-service to those who are actually trying to learn here. On the other hand its the internet and some people cant handle the anonymity of it.
Have a good day,
X
^ Yeah.... what he said...
Hi X,
I'm happy to see that we share some passions about options and Porsches (so your real name is not Xflat but flat 6). So feel free to talk about it for hours. I'm not quite good on hockey and vintage racing, but we can talk about Jazz, maths and vintage guitars.
I liked the way you told that numbers are just numbers on the web, and that people keep anonymous.
That I can't understand is when people are so sure of themselves they quite think they are mastering the business althrough options are basically a field you have to live with the leit motiv "I don't understand a shit but I'm working on to fix it".
Anyone needs someone to learn. But there are ways to do it without laughing at people à priori (please take a look on my first post and the answers. People don't know me and act like they do. First post X. And you talked about open minds...).
As you said every trader on ET is a winner, got a good strategy and make financial markets a living (in fact, they maybe are all brokers lol).
Cheers
Please, feel free to check it out...And then come back to me. It is not something i discovered...Please Atticus google it. But if you work with MM, ask them. Course I will give you answers and where you will find it on papers (I swear). But first what about maths...Please tell me I'm wrong.
Cheers