Help need to calculate and find delta of an option

#1
Hi everyone

I am new to the world of option greeks, when it comes to calculate delta of an option.
Delta of ATM (at the money )option is usually 0.5.
My query is if i want to find the delta of the nearest in the money call and Put option with delta = 1, how do i find it or calculate it?
Thanks
 

mohan.sic

Well-Known Member
#3
atm 0.5/-0.5, usually next itm strike goes to 0.6/-0.6 ………...till delta of 1/-1 in deep itm.
All this in theory and to good extent practically but not 100% how it works.


I think you have a wrong understanding in delta. may i know why you need the delta of a option.
 

DanPSup

Hedge Strategy Trader in Options and Futures
#4

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