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Delta Values Discrepancy
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Created: by angusyoung Attachments:4

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Delta Values Discrepancy

  #1 (permalink)
Trading Apprentice
Saint Louis, MO
 
Futures Experience: None
Platform: think-or-swim
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Posts: 6 since Jul 2015
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Delta Values Discrepancy

When I look at the greeks on the nasdaq website, for example for a July 17 126 strike put for AAPL, and compare that to the greeks on ThinkOrSwim, the numbers are radically different.

For example, on Think or Swim, the delta is 2295.96. On the NASDAQ website, it is -.46.

Not only are the values radically different, I'm accustomed to the delta being expressed between -1 and 1. TOS and others seem to use a different scale. I was hoping someone could explain to me why there is a difference?

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  #2 (permalink)
Trading Apprentice
Saint Louis, MO
 
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I got a pseudo answer from the TOS website:

"On the Thinkorswim platform, delta is presented in terms of shares of stock, with 1 call representing 100 shares of stock. So if delta is +.75, the platform will show a delta of +75. In our example below, the Sept10 1090 call has a delta of 54.08, which really would be +.5408."

However, that doesn't explain why the sign is switched, and even if I divide the TOS delta by 100, I get 22.95, which still is not between -1 and 1.

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  #3 (permalink)
Elite Member
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The Deltas are almost exactly the same as you can see from the images.

Attached Thumbnails
Delta Values Discrepancy-nasdaq.png   Delta Values Discrepancy-tos.png  
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  #4 (permalink)
Trading Apprentice
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You can see the strange delta values in the image above.

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  #5 (permalink)
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angusyoung View Post
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You can see the strange delta values in the image above.

I always wondered that as well. It doesn't make any sense to me.

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  #6 (permalink)
Trading Apprentice
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Bookworm View Post
The Deltas are almost exactly the same as you can see from the images.

I was able to recreate the delta value based on your screenshot in the analyze section of TOS. I think what it is doing in other parts of the platform is doing the math for me.

For MY POSITION, if I see a delta of 428.22 a $1 increase in AAPL would cause my position to increase by $428.22.

Attached Thumbnails
Delta Values Discrepancy-tos-correct.jpg   Delta Values Discrepancy-position.jpg  
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  #7 (permalink)
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Posts: 157 since Apr 2010
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Your position in TOS is for being short 50 puts. Short puts is a positive Delta. Long puts as in the NASDAQ site is a negative Delta. 2295.96/50 = 45.91.92.

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