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

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  • $\begingroup$ 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. $\endgroup$ – will Oct 17 '17 at 16:13

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