Leaderboard

Well, here's an answer based on the Black-Scholes solution for call prices. http://quant.stackexchange.com/questions/4612/why-do-atm-call-options-have-a-delta-of-slightly-bigger-than-0-5-and-not-0-5-exa?rq=1 So, the 0.5 thing is not exactly true except when you're close to expiration.

The delta of the 'ATM forward' option will be 0.5. The forward price for a stock is calculated from current spot price and 'cost of carry' until option expiration. Cost of carry is determined by interest rates, dividends and borrow cost. (Here a formula if you want to know the exact calculation http://en.wikipedia.org/wiki/Forward_price) If a stock has a very high div yield and a low IV than for American style options a certain probability of an early exercise can affect the delta too. As NFLX doesn't have a div, interest rates are pretty low and any borrow cost on the stock would bring the forward (and therefore the delta of the call) down non of that explains the high delta though.... (Scratching head) With the stock at 284 and 0.66% for interest rates the forward price is about 287$ but if you stick that in your option calculator you still get a delta well over 50. The last thing that I can think of is that an option calculator will take into account that a stock can't go below zero. This is particularly relevant for long dated options and high IV like in this case. If you lower IV in your option calculator you will see the delta for the 287 strike will go to about 55 (closer to 50 but still not quite there) Basically if you imagine a graph with the possible price of the stock in Jan15 on the x axis and the probability of NLFX to be at that price on the Y axis and a bell curve shaped graph with the pivot point at the ATM forward stock price (287 in this example) If you have a low IV than the probable stock prices in Jan-15 will all be near that 287 price and say prices of 200 and 374 and below/above have a very low probabily and the graph hits pretty much zero at these levels. If IV is very high and you look at a long time until expiration the probabily of a stock price of zero may hit say 5%. So the left tail of your 'bell curve' (it isn't a normal distribution so speaking of a bell curve is technically not correct) would cross the y axis at 5%. As stock prices can go lower than zero the remaining 5% probability have to go somewhere in that curve - so that will move to the right hand tail hence increasing the probability (and therefore the delta) of calls and decreasing the delta of puts. If you look at http://en.wikipedia.org/wiki/Log-normal_distribution than the blue graph in the top right corner would be an extreme example.