Could 0-1 DTE options really be the prime mover of the extreme daily ranges lately?

Where can I find or calculate the front delta for expiration? Could be interesting.

 

Anyone?

 

Try @destriero

 

I know how to the get the Black Scholes delta but I don’t think that’s what you’re asking for. I am fairly certain that the BS delta or any Greek is incorrect close to expiration.

 

In op #2 it refers to front delta needed to be hedged at expiration.

How would one calculate that? I'm not big enough for a Nomura account. Anywhere else to find it?

 

Good point. Not sure you can get an exact number but there are services such as SpotGamma and Squeezemetrics.