- QuantShare - Trading Software for Stock, Forex and Futures
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Peter - You re welcome. I thought that might be the case. The Offset() method of defining a range is an incredibly powerful tool, one which seems to be little known or used, even among savvy Excel users. I was one of them. a whole new world was opened to me when I discovered it. Keep up the good work! Dave
QuantShare - Trading Software for Stock, Forex and Futures
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Quote Table - Chicago Board Options Exchange
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-Binary Risk Analysis & Options Trading
Is a portfolio consisting of a Long Put and a Long Call delta-neutral if both options have the same Strike price and are trading at the money?
Thanks for your very informative website.
I have a few theoretical questions regarding the delta for European Calls/Puts in the Black Scholes Framework.
6. For what spot price is |delta*Call| = |delta*Put| ?
7. When |delta*Call| = |delta*Put|, what is the delta? Which Option is worth more?
Delta should be 5 and Call option should be worth more as its value is not capped through the stock price?
Thanks in advance!
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So what happens if the underlying stock price goes down 5pts, and the delta the day before..wouldn t the value of the delta also decrease?
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WTI Crude Oil options (LO) boast average daily volume of over 685,555 contracts, with 75% traded electronically, and open interest of ~ million contracts.