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Trading options spreadsheet quote

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

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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?

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Hello Peter,

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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