Your premise is faulty at best. You've shown a lack of understanding of the greeks - as have many others on this thread. You just responded to the two correct answers on the thread. Think about it. Do you really wish to be enlightened? It's not that hard to get it.
Sure thing... By "apples and oranges" I meant that you're comparing an instantaneous quantity (analytical delta) that's based on a particular value of a parameter to a realized change in the price of an option over a particular period, during which the value of that all-important parameter may have changed. Is that sufficiently jargon-free for you? As to the point of BSM, there's an excellent analogy that aaron offered in a thread here: http://www.wilmott.com/messageview.cfm?catid=8&threadid=79606
Well, it's now your turn to enlighten me... What, in your view, constitutes "substance" and which part of my response was lacking in it?
i've learned some hidden rules on et from jh and hypo. one doesn't have to post somthing useful to be meaningful.
I've provided charts with details of the calculated delta vs. true deltas based on real time data done on a daily basis calculated with an independent price model. Lots of challenges with no corroboration. so if it's faulty....show me...
I've seen too many different types of deltas (or sensitivities) related to options. It all depends on the definition of individual delta. The convntional delta is mainly/merely a hedge ratio, for the practical and important purpose of hedging its UL, simply due to Hedging is the original purpose of options. You need to specify the definition of your preferred delta (whatever it is called) for further discussion. A chart by itself is not enough, to avoid any misleading.
McMillan: "The first risk measurement that concerns the option strategist is how much current exposure his option position has as the undrlying security moves. This is called "delta". In fact, the term delta is commonly used in at least two different contexts: to express the amount by which an option changes for 1-point move in the underlying security, or to describe the equivalent stock position of an entire option portfolio."
Also delta is the probability that the underlying will finish on the strike price at expiration. 50 delta =50% probability