Mr.Good.Guy Wrote: ------------------------------------------------------- > Also in CFAI > > Delta can only be 1 @ expiration when the option > is in the money > > Delta can only be 0 @ expiration when the option > is out of the money Makes sense. The slope of the hockey stick payoff is either 0 (from 0 to X) or 1 for S exceeding (equal?) X.
Delta can only be 1 if you are long a call and its in the money at expiration. call options have delta’s between 0 and 1 and puts have it between -1 and 0.
i guess that’s sort-of true. In the futures world, when an option is “cab” meaning that it is worth less than 1/4 tick (I think) they stop marking it which means for all practical purposes it has a delta of 0.
strikershank Wrote: ------------------------------------------------------- > Delta can only be 1 if you are long a call and its > in the money at expiration. > > call options have delta’s between 0 and 1 and puts > have it between -1 and 0. True! I was thinking of a a call only. You are right.
My favorite from Schweser: “You have an ATM call with a delta of 0.87” or something to that effect. In general the explanation of options is just poor and questions and their wording make it painful to deal with from both cfai and schweser. If you want to understand basic options stuff, load up excel, google for an excel addin or write one your self that calculates option price/delta/gamma/vega/theta. Play with it. It’ll probably take you an hour and you will learn more than you could from a book. (or with bberg just type MSFT equity OV)
gh Wrote: ------------------------------------------------------- > comp_sci_kid Wrote: > -------------------------------------------------- > ----- > > Delta Option and Time to expiration > > > > As time passes, the delta of in-the-money > options > > increases and the delta of out-of-the-money > > options decreases. > > Delta Option and Volatility > > > > As volatility falls, the delta of in-the-money > > options increases and the delta of > > out-of-the-money options decreases. > > > > Useful to know > > > Where did you cite this from? I am Schweser > mislead, B4.177. I was wondering where you read > this regarding differences in out of money and in > the money for delta changes. Thanks! google > schweser
Really nice Black-Scholes calculator on the web that helped me finally get this straight… http://www.blobek.com/black-scholes.html