Delta on SDS long calls - reversed?

Discussion in 'Options' started by JavaBen, Jan 19, 2008.

  1. JavaBen


    The Delta on long calls for SDS (Ultrashort S&P500 Proshares), as shown on TOS, is positive. I understand that would agree with the standard definition of deltas for long calls. However, since this is market reversed, shouldn't these be shown as Delta negative?

    E.g., if I had some long call SDS, then looking at my Delta summary on TOS for my open trade, I end up showing a much more positive Delta value then I expect.

    I might expect to be near a neutral Delta position if those were shown as negative.

    With the deltas being shown positive, the summary shows me as being much more negative then the actual total of my positions.

    E.g., if I had 10 long SPY contracts, and 10 long SDS contracts, then I would expect my deltas would be offsetting.

    But it's not - they are added.

    So what am I missing?
  2. Forget that it's reversed. Deltas are always shown with respect to the underlying. If the price of SDS goes up your call makes money = positive delta. It's not a "market delta" is't a delta for that underlying.

    Have you used the beta weighting option? Looks fine for me when I do.
  3. Calls have positive deltas and their price and delta increase as the underlying rises. Why the underlying rises is irrelvant. IOW, if SDS rises because the market dropped, it doesn't change the basic definitions and characteristics of the options.
  4. JavaBen


    damon_achey I'll have to check that out.

    Thanks everyone for your reponses.