All Questions
10 questions
6
votes
2
answers
15k
views
How can I calculate the strike price or implied volatility from a given delta?
I have calculated the implied volatility for all strikes of a certain product (options on futures) and approximated the ATM volatility. My question is how can I figure out the implied volatility for a ...
- 377
3
votes
2
answers
4k
views
Effect of Implied volatility on option delta
I am currently hedging a short put option where strike is 6027 and expiry is 30th Mar 2023. As per my understanding when option is ITM increase in volatility will decrease the delta and decrease in ...
- 65
1
vote
1
answer
1k
views
Option Volatility Smile vs Delta
I am new to options trading and have been trying to better understand the relationship between implied volatility, delta, and moneyness. I was wondering how a call option's implied volatility can go ...
- 11
1
vote
1
answer
2k
views
Delta Volatility Surface Usage to value the option
I always find myself in the unknown charted territory when it comes to non-Linear Instruments. I come across the scenario, How to value the option using Delta Vol surface?
Example
I have CME traded ...
- 137
0
votes
2
answers
630
views
Can gamma of an option be greater than its delta?
I have a currency pair usdinr put option with strike price at 73.5 INR, risk free rate 0, underlying price of 75.4025, days to expiry is 15 and iv is 5.9%. Delta of this option is -0.019 and gamma is ...
- 65
0
votes
1
answer
102
views
Filtering options data
I am looking to conduct some analytics with regards to options implied volatility. My advisor mentioned about filtering options with time to maturity of less than 7 calendar days. Is there a ...
- 2,231
0
votes
1
answer
682
views
Is Nassim Taleb wrong about his DdeltaDvol dynamics in his Dynamic Hedging book?
if you're long OTM calls, an increase in vol would increase your delta (converges to ATM) and if you're long ITM calls, increase in vol would decrease your delta (converges to ATM as well). So OTM ...
0
votes
1
answer
81
views
Delta volatility curve construction in practice
I want to construct a volatility curve $\Gamma = \{(\Delta_i, \sigma_i)\}$ but notice that the call and put with the same delta have a different vol (which shouldn't be the case in theory). Is the ...
- 13
0
votes
1
answer
144
views
Interpolation of IV based on delta
I have a dataset with options, all the same date and time to maturity but different IV and delta. Now, I want to find the IV for certain delta values (e.g 0.5) through interpolation. Do you think that ...
- 1
0
votes
0
answers
125
views
University Problem about interpolation Implied volatility BS Model (volatility smile)
Good morning,
this is my first question on this forum, I'm writing from Milan (Italy) and I have a question about a University Problem.
The problem is about entering in a Long Range Forward (buy a ...
- 51