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On Oct 10, 5:08pm, Troy Kelley wrote:
> Subject: OPTIONS: OEX Deltas
> Traders,
>
> Any idea on why the deltas for today's OEX options were so high?
You mean, low?
> 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?
I show those options (5 pts. otm) as having a delta of about 0.4, though
they started out at 0.6 when they were in the money (I used Black/Scholes).
Looks about right to me.
>
> 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.
Except for the last week of expiration, you might want to compare moves
in the at-the-money OEX option to moves in the S&P futures, instead of
using cash OEX. Also, I think there's more lag in reporting OEX trades
than in reporting OEX cash, so it isn't clear that the options are
lined up in time with the cash OEX.
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| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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