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Interesting. I would have two caveats though. One, the option data available
in these markets are notoriously stale and unreliable except for the
near-months at-the-money options (which are only a handful). I have posted
about this problem before. By averaging all those deltas you might arguably
be increasing entropy instead of information.
The second point concerns the nature of the beast. As you know, deltas are
first derivatives; as such, they describe local, not global, properties of a
curve. Therefore, one would expect this information to be useful for very
short-term forecasts only. Actually, that's what delta-neutral trading is
all about - continual hedging and re-hedging in order to conform to the
fluctuations of the deltas.
Regards,
Michael Suesserott
-----Ursprüngliche Nachricht-----
Von: Robert Hodge [mailto:r-hodge@xxxxxxxxxxxxxxx]
Gesendet: Monday, June 11, 2001 21:48
An: Omega List
Betreff: Futures Options
I'm curious if anyone here makes significant use of option market
information (other than P/C ratios in stock indexes) in directional trading.
To give an example of a potential "non-conventional" use of this data...I
have a spreadsheet which I can use to calculate the "gross delta" of a
futures-options market. By that I mean I calculate the delta for each call
and put option by strike and expiry. The "gross delta" I define as the
equivalent net position in futures contracts if you were long all the calls
and all the puts in the market.
Right now I get the Corn market gross delta around -30,000 and the Soybean
gross delta around +30,000 (short and long 30k futures contract equivalents
respectively). I use the standard inputs into the Black model that my data
provider presets (CQG).
I have not been looking at this kind of information long enough to be able
to get any feel for its usefulness or otherwise. However, I do find it
interesting. I expect not many traders consider this info in their methods
and systems and so it may contain an extra information content not available
in other market data. If you have any experience of slicing option market
data in ways like this then I'd be glad to hear about it.
Regards,
Robert
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