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.