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Deltas for Double Calendars in Scanner

JoeA

By JoeA
in Promotions and Tools

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JoeA Advanced Member

JoeA

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Posted (edited)

The Scanner for the VolatilityHQ tool gives RVs for double calendars in its results. What are the deltas that are used for placing the two calendars on each side of the ATM strike?

@Djtux  @Yowster

Note: I meant to put this in the VolatilityHQ thread and not as a new topic. Sorry.

Edited by JoeA

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