deltas in high-vol stocks

Discussion in 'Options' started by biggooz, May 28, 2008.

  1. biggooz


    So I was trading LEH today and saw something unusual that I cannot explain. The stock was trading 35.50 but, according to our pricing model, the delta of the 36 call is greater (absolute value) than the delta of the 37 put. Also, the 30 put had the same delta as the 42 call, even though the 30 put has a value that is literally double the call. Now, this could make sense if it had a super-high forward or some sort of weird, not-intuitive dividend, but it has none of the above. Does anyone have any thoughts on what could cause this? It seems to be a function of the implied vol (it hit 97 today before backing off), but in any case, I don't think I am hedging my position correctly.