This is the behavior in the BSM model. But I've shown that this behavior is mathematically incorrect as it unfairly favors the Call over the Put....
Ok, that's fair. My said delta was intended as "probability for expiring ITM". I haven't tested it for delta-hedging yet. Maybe I'll do it if I...
BSM and also my example use lognormal distribution. But the payout for Call and Put should still be relatively equal for the same relative...
@VolSkewTrader, unfortunately you are blindly defending the BSM, without analyzing and verifying the shown discrepancies and problems with it. :-(
@VolSkewTrader, from a probabalistic point of view the distance from the mean (ie. initial S) to +1SD is equal to mean to -1SD, ie. 1SD to each of...
I think this IPO tomorrow on Friday could be hot: CureVac (CVAC.O) The company develops a vaccine against the Corona virus. More info:...
This might have been the intention, but in fact it's IMO simply wrong as the few examples with high volatility have clearly demonstrated. If I...
Come on, for a single option this never can be true. Otherwise give the params where this can happen. Maybe you mean the delta in delta hedging...
I now have created my own realistic Delta Greek called "MyDelta": :) S=100.00 K=100.00 s=3.0 t=1.0 r=0.0 q=0.0 : C: Value=86.638560...
I think I've found a new simple formula. It gives similar Call prices for K=S, but diverging the bigger t is. Now trying to build-in also the case...
Last week there was this interesting news: 10 US Companies With Highest Revenue Exposure To China...
I've intentionally omitted the drift (the risk-free-rate) and dividend when I set them r=q=0 in the initial posting to keep it simple.
I think there could be a better formula out there to be discovered, which also would allow to compute the IV directly (without iterating)...
Haven't thought about commodities in this context, but in equities I would say the US semiconductor companies are already making big losses (and...
Using this lognormal formula S_t = S * e^(z * s * sqrt(t)) one can calculate the upper and lower bounds for 1 SD: S=100, s=3.0, t=1 : The upper...
I understand, but even in the lognormal-world it has to be 50% for both, IMO. Vola 300%: C: Value=86.638560 Delta=0.933193 P: Value=86.638560...
Questioning the meaning of Delta Delta for Calls is in the range 0 to 1, and for Puts in the range 0 to -1. The abs(Delta) is the probability...
I don't recall all the details of the strategy of then, but it was using weekly options, ie. timeframe was very short. Btw. the time was about...
wiki says: "Qualcomm is an American public multinational corporation headquartered in San Diego, California, and incorporated in Delaware." I...
It depends on what side you sit: an option writer likes high IV as he gets higher credit (ie. the premium is higher). So, companies who need FDA...
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