Crude options - Delta discrepency - June vs July vs Aug put series

Discussion in 'Commodity Futures' started by J-Law, Apr 14, 2011.

  1. J-Law


    Noticing a difference in the deltas of the puts in crude,

    CLM1 91 Put series delta @ -.0329
    CLN1 91 Put series delta @ -.2740 (Just -.960 yesterday)
    CLQ1 91 put series delta @ -.1125

    The July is a higher delta, as all the strikes are all at higher deltas compared to their June & August counter parts and increasing while premium is decaying.

    Shouldnt the distant dated August have the higher delta do to more days to DTE, hence more uncertainty?

    Source IB Option Trader.....maybe a glich?
  2. Right now I'm showing deltas of, CLM1p91 04, CLN1p91 09, CLQ1p91 11.

    Always check with a second data provider if you suspect an error.

    Of course, deltas don't always "look right" between expiry months in markets such as CL that can have large contango or backwardation.
  3. Stale quotes? :confused:
  4. J-Law


    That is SO strange. yes, I even checked them against futuresource website&
    July 91P delta is .0820.

    Who do you guys use as a 2nd source for greeks?


    PS IB option trader still showing that swelled Delta structure for July CL Puts
    even as I type now.
  5. J-Law


    Nazz / Rodney thanks for chiming in.