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Traders,
I got a lot of help with the satellite dish.. thanks to everyone out
there who set me the azmith data. I got it working on the roof, finally.
There were a lot of inquiries about my Delta calculation. I realize
after reading another real trader's post that my is not the "real" delta
calculation - primarily because it is not based on the Black Sholes
model. But what mine does tell you is the amount of change of one price
compared to the amount of change of another price. When this equals 1
then they are moving together, which is one thing the delta is supposed
to tell you. I find it useful for OEX options, hope you do to.
Here is the formula for myDelta
absValue((E-F))<>0,(absValue((R-B)))/absValue((E-F)),1)
Inputs
E close
F close 5 bars ago
R close of data2
B close 5 bars ago of data2
Obviously you need to have the option pice as either data2 or the
closing pice, and the OEX (or whatever index) as one or the other price.
The length is the "5 bars ago" part. It is interesting to vary that
length, because you will get different deltas depending on it.
Troy
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