Highest Delta

Discussion in 'Stocks' started by Lord Darkseid, May 17, 2023.

  1. Where can I find the stocks with highest Delta?
     
  2. qwerty11

    qwerty11

    You mean highest IV? Because a stock doesn't have a delta...
     
    TheDawn likes this.
  3. All stocks have delta=1.0 :)
    I guess you mean options :)

    https://www.investopedia.com/terms/d/deltahedging.asp
    "
    [...]
    Delta Hedging With Equities
    An options position could also be delta-hedged using shares of the underlying stock. One share of the underlying stock has a delta of one as the stock's value changes by $1. For example, assume an investor is long one call option on a stock with a delta of 0.75—or 75 since options have a multiplier of 100.

    In this case, the investor could delta hedge the call option by shorting 75 shares of the underlying stocks. In shorting, the investor borrows shares, sells those shares at the market to other investors, and later buys shares to return to the lender—at a hopefully lower price.
    [...]
    "
     
    Last edited: May 17, 2023
  4. newwurldmn

    newwurldmn

    All stocks have delta. The delta of all stocks is 1.
     
    spy, TrailerParkTed and Lou Friedman like this.
  5. Snuskpelle

    Snuskpelle

    I presume you mean beta, IV, or RV... Pretty much all screeners have some measure of past volatility that you can sort by.
     
  6. newwurldmn

    newwurldmn

    stocks don’t have IV. options do.
     
  7. Snuskpelle

    Snuskpelle

    Yup. The point is one measure of forward vol on a stock is the IV of an option on it.

    I.e. my reinterpretation of his question was "how can I find stocks that will be volatile"?
     
    Last edited: May 19, 2023
  8. newwurldmn

    newwurldmn

    Every option on a stock has a different IV.
     
  9. Snuskpelle

    Snuskpelle

    Which is why you make composite indicators (or if lazy like me use someone else's).

    A well known example not in the stock but index space would be VIX.
     
  10. newwurldmn

    newwurldmn

    i'm being pedantic but that's not the same as the Ivol for the stock.
     
    #10     May 19, 2023