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Traders,
Any idea on why the deltas for today's OEX options were so high? Usually
around expiration week they start to approach 1, but today they were
around 2 or higher. The OEWJG (935 oct call) only went from 10 to 7 but
the market moved about 8 points from 935 to 927 (high to low), so what is
the problem? Why aren't the options moving more?
By the way, I wrote an option delta indicator for SuperCharts which
calculates the change in the an OEX option compared to the change in the
OEX (it doesn't use the traditional volitility info, just the changes in
price). You really get an idea of how crazy deltas can be by looking at
this indicator, and the time frame you select makes a huge difference.
Anyway, I can post the code or send it out if someone is interested.
Troy
Troy
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