The 70P would not trade anything near 38vol. It's $4 wide, for f*cks-sake. Next time, use the mid to calc the strike-IV. Dumptruck.
That was the point of me asking you that question. You do not know the realized volatility in advance during the period when you will own/short the option.
Nothing easier than that! Really! Just use the BSM function, I can even give you the formula for Delta calculation and some more, in case you really don't have them... Just let me know! Using the market price one finds the IV by using intervall-halving (ie. performing a binary search). And then everything is available: delta, gamma, everything... Even realtime!
Ah, fantastic... So that means that you imply the vol from the market price and then compute delta using that vol. Now you're an intelligent young man (I presume). So tell me, doesn't the above suggest that delta is, in fact, determined by the price of the option?
I really can't believe that you don't have the formula for delta calculation. Man the web is full of the formula. Here, even on wiki you can find the formulae for all the greeks: https://en.wikipedia.org/wiki/Greeks_(finance)#Formulas_for_European_option_Greeks In my BSM code here ( http://www.elitetrader.com/et/index...es-merton-options-pricing-engine-in-c.297419/ ), just define the Delta variable and add to the end of the calc() func the following code to get the Delta calculated: Code: Call.Delta = p1; Put.Delta = -(1.0 - Call.Delta);
Brilliant, thank you... I confess that I was hoping for something a little more sophisticated from you, but this will do. Now maybe you could respond to the question I asked in my previous post.