trefoil
Registered: Mar 2007
Posts: 3390 |
08-12-12 07:17 PM
Quote from silver217:
I know it is sunday and the markets are closed.
I am thinking of setting up a position on mondaymorning.
The delta's that my broker (IB) shows makes no sense.
That what I think, or am I making a mistake ?
Therefore I need to be able to verify.
I have made an excel spreadsheet that calculates delta
SPY closed at 140.87
my broker gives me:
call SPY aug'17 144 delta = 0.07
put SPY aug'17 137 delta = -0.08
my spreadsheet gives me 0.17 and -0.18
can sombody take a look ? Is my formula correct ?
-1+NORMSDIST((LN(C8/C7)+(C11+C9^2/2)*C10/365)/(C9*SQRT(C10/365)))
Am I using the right volatility value (the VIX) ?
Thanks.
Formula looks familiar, but like the man said, it's Sunday and my eyes are half closed anyway.
However, using the VIX is definitely wrong, for the following reasons:
1 - VIX is the average of the implied volatilities for the entire set of options, not any particular one. Each option within an expiration has its own IV.
2 - The figure quoted right now is the implied volatility right at this moment for the blended IV of Sept & Oct, so it doesn't have anything to do with what you're looking at.
3 - On top of that, it's for SPX options, not SPY, and so varies slightly anyway.
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