This really helped. However, delta is also a function of volatility and time to expiration
Yes it is June... And yes.. The question is this exactly. I would expect same deltas to have equal prices, but they haven't. I am trying to...
I 'll give an example so that I make sure we are on the same page here. - 1920 May s&p Call, delta 0,08 , price 1.50 - 1960 May s&p Call, delta...
Yes... This is exactly the issue. There is a 'time decay' in delta and that reflects into the price. It is totally a mathematical issue. I just...
I have to come back to , essentially, the same issue looking at it from a more theoretical perspective. What is hard for me to understand is why...
I am actually more interested in far OOM options like 0,10 or 0,05 delta. Thanks anyway
Thanks but my issue here is not to adjust the price, but to see how the time decay affects the price of the option, if we keep the delta constant....
I am selling strangles in S&P and Nasdaq with about a month to expiration and deltas between 0,05 and 0,10. I am particularly interested in...
I guess you are right.... It's Reg-T, but this doesn't realy change anything. This is really messy
I am selling strangles on SPX and NDX in Interactive Brokers. The thing is that I am really frustrated with these weird SPAN margin requirements....
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