hey guys
when i calculate $spx`s next day 1% decline on delta scale its represents 25-delta
for example today`s close 5495.52 if dropped to -1% will be 5440.56 which is near 1DTE delta-25 (11Sep)
is that a rule can be applied every 1dte ? or depends on impl vol?
$spx`s next day 1% decline on delta scale its represents 25-delta?
byu/Conscious-Variety529 inoptions
Posted by Conscious-Variety529
2 Comments
depends on implied vol. The delta is roughly (quants will likely kill me for this statement) the probability for the option to end up in the money.
It seems like you’ve got the math down for the 1% drop and how it relates to delta-25. It’s generally a good rule for short time frames like 1DTE, but keep in mind that implied volatility (IV) can definitely affect delta, so it’s worth checking IV before relying on the rule too strictly.