OTM with 0.505 delta

hurricane_sh · Apr 4, 2020

I'm reviewing option data exported from TWS, the following two options make me confused.

SPY: $246.64
SPY Apr09'20 247 Call
Delta: 0.505

SPY Apr09'20 247 PUT
Delta -0.495

I always thought an OTM option's delta is less than 0.5, and an ITM option's delta is bigger than 0.5, but it's not the case here. Did I misunderstand something?

Same Lazy Element · Apr 4, 2020

hurricane_sh said:
make me confused.

When volatility is high, deltas are higher to the call. Intuitively, imagine that volatility is infinite - while that means the stock can go very high, it still can't be below zero.

Sig · Apr 4, 2020

Same Lazy Element said:
When volatility is high, deltas are higher to the call. Intuitively, imagine that volatility is infinite - while that means the stock can go very high, it still can't be below zero.

Unless you're IB and calculating the margins for selling puts, apparently.

Same Lazy Element · Apr 4, 2020

Sig said:
Unless you're IB and calculating the margins for selling puts, apparently.

Lemme guess, they charge you more than the strike price as margin?

Sig · Apr 4, 2020

Same Lazy Element said:
Lemme guess, they charge you more than the strike price as margin?

Not me, I moved long ago, but some discussion at https://www.elitetrader.com/et/threads/short-svxy-put-margin-logic.342291/