{"id":1974231,"date":"2014-04-14T12:31:13","date_gmt":"2014-04-14T07:01:13","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1974231"},"modified":"2014-04-14T12:36:34","modified_gmt":"2014-04-14T07:06:34","slug":"forensics-nifty-options-delta","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2014\/04\/14\/forensics-nifty-options-delta\/","title":{"rendered":"Forensics: NIFTY Options \u2013 Delta(&delta;)"},"content":{"rendered":"<p>Delta(\u03b4) is a theoretical estimate of how much an option&#8217;s premium may change given a 1-point move in the underlying. For an option with a \u03b4 of .50, an investor can expect about a 50p move in that option\u2019s premium given a Rs.1 move, up or down, in the underlying.<\/p>\n<ul>\n<li>For purchased options owned by an investor, \u03b4 is between 0 and 1.00 for calls and 0 and -1.00 for puts.<\/li>\n<li>As a call option goes deeper-in-the-money, \u03b4 approaches 1.00 on the increased likelihood the option will be in-the-money at expiration.<\/li>\n<li>With an increase in implied volatility, \u03b4 gravitates toward .50 as more and more strikes are now considered possibilities for winding up in-the-money because of the perceived potential for movement in the underlying.<\/li>\n<li>Low implied volatility stocks will tend to have higher \u03b4 for the in-the-money options and lower \u03b4 for out-of-the-money options.<\/li>\n<li>At expiration an option either has a \u03b4 of either 0 or 1.00 with no time premium remaining.<\/li>\n<li>As expiration nears, in-the-money call \u03b4s increase toward 1.00, at-the-money call \u03b4s remain around .50 and out-of-the-money call \u03b4s fall toward 0 provided other inputs remain constant.<\/li>\n<\/ul>\n<h3>Delta in action: March 2014 NIFTY Options Since Jan<\/h3>\n<p>First, lets look at the underlying:<\/p>\n<p><a target=\"_blank\" href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973941\" alt=\"NIFTY\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png\" width=\"745\" height=\"575\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY.png 745w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-300x231.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/NIFTY-388x300.png 388w\" sizes=\"auto, (max-width: 745px) 100vw, 745px\" \/><\/a><\/p>\n<p>To capture the full move of the NIFTY, you\u2019ll have to look at, at least, a dozen strikes between 5950 and 6900.<\/p>\n<p><strong>\u03b4 of calls:<\/strong><\/p>\n<p><a target=\"_blank\" href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1974241\" alt=\"March 2014 NIFTY Delta (CE)\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE.png\" width=\"1024\" height=\"768\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE-300x225.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE-400x300.png 400w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-CE-900x675.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<p><strong>\u03b4 of puts:<\/strong><\/p>\n<p><a target=\"_blank\" href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1974251\" alt=\"March 2014 NIFTY Delta (PE)\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE.png\" width=\"1024\" height=\"768\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE-300x225.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE-400x300.png 400w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/March-2014-NIFTY-Delta-PE-900x675.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><br \/>\n&nbsp;<\/p>\n<p>Note how \u03b4s rip towards 0 or 1 as expiry approaches? Here&#8217;s an important intuition: in-the-money options will move more than out-of-the-money options, and short-term options will react more than longer-term options to the same price change in the stock.<\/p>\n<p>Source: <a href=\"http:\/\/www.optionseducation.org\/strategies_advanced_concepts\/advanced_concepts\/understanding_option_greeks\/delta.html\" target=\"_blank\">Understanding Delta<\/a><\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul\">\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/13\/forensics-nifty-options-theta-decay\/\" target=\"_blank\">Forensics: NIFTY Options \u2013 Theta(\u03b8) Decay<\/a><\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/2014\/04\/12\/forensics-nifty-options\/\">Forensics: NIFTY Options<\/a> (stockviz.biz)<\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/01\/23\/the-one-man-insurance-company\/\">The One Man Insurance Company<\/a> (stockviz.biz)<\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2013\/09\/18\/usdinr-implied-vol-vs-realized-vol\/\">USDINR Implied Vol vs. Realized Vol<\/a> (stockviz.biz)<\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=f4bf017a-f28e-4cbe-9c75-f4edb8eb775a\" \/><\/div>\n","protected":false},"excerpt":{"rendered":"<p>Delta(\u03b4) is a theoretical estimate of how much an option&#8217;s premium may change given a 1-point move in the underlying. For an option with a \u03b4 of .50, an investor can expect about a 50p move in that option\u2019s premium given a Rs.1 move, up or down, in the underlying. For purchased options owned by &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[3361,1200],"class_list":["post-1974231","post","type-post","status-publish","format-standard","hentry","category-your-money","tag-forensics","tag-options","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974231","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1974231"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1974231\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1974231"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1974231"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1974231"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}