Theoretical vs Actual Delta

X

XCoinr

I'm still figuring a lot of this stuff out, and I'm trading Bitcoin options.

Something that was frustrating me is that there is a non-trivial gap between the theoretical delta and the actual delta. Even when I was supposed to be delta neutral, I had a clear directional bias in my portfolio value. When I figured this out, I made a "best guess" adjustment to my delta hedging bot to keep my theoretical delta a little positive.

Is this a problem in other kinds of underlying? Is it just a feature of the immaturity and liquidity of the Bitcoin options market?

Is there an established was to find the "actual" delta of an option? Or am I just going to have to tweak it to try to iron out directional biases?
 
Delta represents the relationship between the underlying price and the option - Each of which the issuer/seller has the right to set his price.
For Bitcoins you are not protected by best execution/SEC rules, the prices can be whatever.
For stocks and index options traded on major exchanges I don´t see those discrepencies you write about
 
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XCoinr said:
I'm still figuring a lot of this stuff out, and I'm trading Bitcoin options.

Something that was frustrating me is that there is a non-trivial gap between the theoretical delta and the actual delta. Even when I was supposed to be delta neutral, I had a clear directional bias in my portfolio value. When I figured this out, I made a "best guess" adjustment to my delta hedging bot to keep my theoretical delta a little positive.

Is this a problem in other kinds of underlying? Is it just a feature of the immaturity and liquidity of the Bitcoin options market?

Is there an established was to find the "actual" delta of an option? Or am I just going to have to tweak it to try to iron out directional biases?
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I perfectly understand what you are implying, but I have no idea what you are saying. No need to speak in the abstract, if this occurred, put the numbers to it, otherwise everything you wrote is just noise.
 
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