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.
This is probably only one of the reasons. There might be an error in your formula two, but I am too lazy to check. ps. wanted to attach some VBA code and don't know how to attach files here! help puhleeze!
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.
There is no way to know if your formula is correct because it contains references to cells in your sheet. What is C3, C7 etc? Also, VIX is not the correct measure of IV. It's separate per option.