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Delta Values Discrepancy


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Delta Values Discrepancy

  #1 (permalink)
angusyoung
Saint Louis, MO
 
Posts: 6 since Jul 2015
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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)
angusyoung
Saint Louis, MO
 
Posts: 6 since Jul 2015
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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)
 
Bookworm's Avatar
 Bookworm 
Long Island, NY
 
Experience: Advanced
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Broker: TD Ameritrade
Trading: Equities, index options and futures/futures options
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The Deltas are almost exactly the same as you can see from the images.

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  #4 (permalink)
angusyoung
Saint Louis, MO
 
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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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 vitrader 
New York, New York, United States
 
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angusyoung View Post


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)
angusyoung
Saint Louis, MO
 
Posts: 6 since Jul 2015
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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.

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  #7 (permalink)
 
Bookworm's Avatar
 Bookworm 
Long Island, NY
 
Experience: Advanced
Platform: TOS
Broker: TD Ameritrade
Trading: Equities, index options and futures/futures options
Posts: 190 since Apr 2010
Thanks Given: 66
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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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Last Updated on July 4, 2015


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