Hello. I need help with IB TWS. For example I open 10 contracts straddle spread. Explain me please: 1) How can I see the delta of this spread? When I right click on the spread and select Analytical Tools - Performance Profile, it shows all greeks (gamma theta vega) = 0, and delta always = 10 (and it never changes when price changes). Why is this? 2) How can I combine this spread with a stock position to make it delta neutral? Thank you.
Right click on the column heading in the portfolio tab and select "insert column before..." then select "greeks" then "delta" To make it delta neutral buy or short the number of shares in the opposite direction of the straddle's delta. So if the delta is -0.25, then buy 25 shares of the underlying. Keep in mind it's only delta neutral right at that instant and will change over time.
I have added this delta column, but I am not sure it works correctly. Looks like not. For test yesterday I opened DIS and FB straddles. Also yesterday I bought 30 shares (when DIS delta was -0.31) but straddle delta did not change (I thought it would change taking into account stock position). Is there any way to see delta of straddle + stock as one position when stock added/removed? But today I noticed that DIS straddle delta is only -0.71 though stock moved $3 down. See it in Screenshot-1: For some reason after some time straddle font became grey (like when market closes, though market is not closed yet) and delta became -1 and does not change any more. See Screenshot-2: In screenshot-3 FB straddle which has -0.75 delta though stock is down $2. But after some time FB straddle delta became 1 too and does not change. Do you know why is this?
I don't know why you had grayed out fields or deltas of 0 or -1. I have delta and theta up all the time and they're always sensible during market hours. Maybe trading was halted during earnings announcement? The deltas appear roughly correct. Keep in mind that screenshot 1 and screenshot 3 show different expirations and different underlying and therefore different IV. Apples and oranges. Also, the delta for your straddle won't magically change if you buy shares. The combined deltas of the stock position and straddle will be neutral. They're simply additive.
They are grayed out in the middle of the day actually, nothing to do with earnings announcements. Also FB and DIS do not have earnings on these days. Something is wrong with IB. Delta is not changing now for both straddles, though price of option legs/spread changes. Maybe I need subscription for some data in IB besides stock prices for greeks to work correctly? > The deltas appear roughly correct. Keep in mind that screenshot 1 and screenshot 3 show different expirations and different underlying and therefore different IV. I am not sure they are correct when stock moves $3 and straddle delta is only 70. It should be more. > The combined deltas of the stock position and straddle will be neutral. Yes it will be, but only at the moment I add shares and neutralize it, then after some time it will not be neutral (as you have already mentioned in your first post). And how can I know the delta of straddle AND shares later when market moves? Any tools? OptionVue maybe?
twinsen.. those deltas seem accurate enough. The DIS delta won't change too much since they expire May 26th, while the FB deltas will change dramatically since it expires in 2 days. I have a discussion about this on my site called "charm"- a 2nd order greek. JUST READ your last post... Changes in delta is also dependent on implied vol.. I don't know the IV of the stock you are in but if the IV is really elevated, deltas won't change as much Also, you can ballpark your delta changes by looking at your gamma- just extrapolate from there.