# Option delta under Black mode vs SABR

Under what scenarios would the Deltas for Options on Bond Futures differ the most between Black vs SABR models ?

• option delta is just 1-CDF (or CDF-1) for a call (put). Black's model assumes a lognormal distribution, whereas SABR is not. An approximation PDF from a set of SBR parameters can be found here, on page 20, which to first order is gaussian. So your difference will be approximately where the CDFs differ the most. – will Oct 17 '17 at 16:13