Delta % ?

[tjlocke99]

Good afternoon. I see morningstar has option chains and some interesting data from a web interface.

Does anyone know what they mean when they are showing delta as a %?

Thank you!

http://quote.morningstar.com/Option/Options.aspx?ticker=FSLR

[Kim]

This is no different from the usual data - delta can be measured as 1 or 100 for DITM options, 0.5 or 50 for ATM options. 50 means 50% to expire ITM.

[tjlocke99]

I would have thought that too Kim however they are showing the delta of the ATM 26 Strike Aug Call at 18.3%. That doesn't make sense and neither do the rest of the deltas.

Thank you.

[Kim]

Wow.. you are right, I didn't notice that. They show delta as %/%, I have no idea what does it mean.

[csensen13]

Hi, in the general attempt to keep learning the whole process, I went to the website linked above. Looking at their definitions they say Delta is:

"A measurement of the change in the price of an option resulting from a change in the price of the underlying security. Delta is positive for calls and negative for puts. Delta can be calculated as the dollar change of the option that an investor can expect for a one-dollar change in the underlying security."

and that's pretty standard, but then they also define it further as:

"Delta can also be calculated as a percentage change in the option price for a one-percent change in the underlying security; this method of viewing the delta value is also known as "leverage."

So their way to tabulate it is as % change for each % change in underlying price (sort of another way to define gamma?)

Anyway, may be Kim can comment if this way can provide a better grasp of the effects of smaller underlying price movements.

[tjlocke99]

Hi, in the general attempt to keep learning the whole process, I went to the website linked above. Looking at their definitions they say Delta is:

"A measurement of the change in the price of an option resulting from a change in the price of the underlying security. Delta is positive for calls and negative for puts. Delta can be calculated as the dollar change of the option that an investor can expect for a one-dollar change in the underlying security."

and that's pretty standard, but then they also define it further as:

"Delta can also be calculated as a percentage change in the option price for a one-percent change in the underlying security; this method of viewing the delta value is also known as "leverage."

So their way to tabulate it is as % change for each % change in underlying price (sort of another way to define gamma?)

Anyway, may be Kim can comment if this way can provide a better grasp of the effects of smaller underlying price movements.

good points csensen13. however it is odd that a huge site like morningstar would deviate from the traditional representation of delta. I was particularly looking to find a web site that would show me near real time option chains with the normal delta representation. I wanted to be able to find liquid ITM put options with an ~ .80 delta. These numbers morningstar is using for the greeks just seems non-standard and confusing. oh well.