what are doing when beta changes a lot over one day ( when large % change day dropping out of 20 days calcs). How does its affect current delta position ?
The TOS platform has this built in to the portfolio monitor page and will beta weight all the greeks to any underlying you'd like, including indexes. It really changed the way I monitored my holdings.
The biggest single day move I've seen in beta is .05. Generally that's within my "slop" size before I make adjustments. Coming up with the slop size is hard. Same with a gamma negative, delta-neutral position. How far does delta go before you "fix it"? I've made up some rules of thumb, but whether they're right or not, I'm not willing to argue.
I believe that is not be accurate. In fact, the standard deviation, which is part of the calculation of many of these greeks, is normalizing since it is a dimensionless number. When you devide a number by STDDev, you get a normalized # accross equities. nitro
Delta is a measure of how much an option moves given a $1 change in the price of the underlying, not some other stock or index. You cannot say that if a call option on IBM has a Delta of 0.5 then a 1 point change in the SPX will mean a 0.5 point change in the price of the IBM call.