On 9/20 I shorted 5 OTM Calls Expiring 9/20 on NVDA $120 Strike at 9:31:34 EST When shares were trading close to $117.35.
The Contracts were sold for 0.25 Each 5(0.25×100=$125) <- Was the premium I received
Same day I then Bought to Close the 5 contracts at 9:57:49 When shares were trading close to $117.80, the stock moved against me by $0.45, but I was able to purchase the 5 contracts at 0.19 Each 5(0.19×100=$95).
I ended up making a gain of +$30 after 26 minutes and 15 seconds passed. I am trying to figure out what was most likely the Delta and Theta of this option from the start of the short, and at the buy to close?
Is it possible to find out through math? I don't know the formula
Would you be able to tell the Option Delta and Theta from this trade?
byu/Snoo_60933 inoptions
Posted by Snoo_60933
2 Comments
Yes you can. What you need to do is use Black-Scholes for back out the options Implied Volatklity at each timestamp, then plug back in the variables into the respective Black Scholes formulas for Delta and Theta.
It’s not going to tell you much. What you’ll find is that black scholes will tell you you lost a little on delta, made a little on theta, and almost all your profits will boil down to Vega. But even that is an abstraction of reality. What really happened is that you most likely caught some good order flow and executed close to the bid/ask on your buy/sell respectively.
Just in case you’re actually looking for the math I’ll give you a link. But I’ll be honest with you. This might be to difficult for most people without a heavy background in finance and math.
https://www.iotafinance.com/en/Formula-Delta-of-a-Call-Option.html
That being said, there are tools online that help you calculate the delta (or another Greek) and all you have to do is plugin the values.
There are also preprogrammed packages for programmers for example in python we have a black and scholes package.
Banks also often provide you with the Greeks, but sometimes the columns are hidden and need to be turned visible.