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OPN: OEX Delta Calculation:

  • To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
  • Subject: OPN: OEX Delta Calculation:
  • From: Troy Kelley <tkelley@xxxxxxx>
  • Date: Wed, 23 Jul 1997 23:03:36 -0700 (PDT)
  • In-reply-to: <199707232303.QAA15535@xxxxxxxxxxxxxxxxxxx>

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Trading Reference Links

 
Traders...

Does anyone out there have any idea how to caculate the delta (the change 
in option price with a corresponding change in the underlying security 
price) for the OEX? Is this published anywhere? It obviously changes as 
we get closer to the expiration week, is this a change that is 
calculatable?

Thanks
Troy