Does anyone know where I can obtain the historical daily delta values for the ES? I am using the Fin-alg program but the daily totals are not historically correct (the program wasn't intended to provide this data - only intraday data). Thanks.
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Thanks for the responses. Actually, someone gave me a short TradeStation ELD which will calculate the delta. It's a little screwy to get it setup, but works well. It's just UpTicks minus DnTicks but has to be setup on a 460 minute chart with price bars hidden. I'll get his permission to post the ELD in downloads.