Option Delta: Difference between revisions
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The Option Delta indicator uses the Black-Scholes model formula. This mathematical equation estimates the theoretical value of derivatives other investment instruments, taking into account the impact of time and other risk factors.<br> Check [[Black-Scholes|here]] for more info about the Black-Scholes indicator.<br> | The Option Delta indicator uses the Black-Scholes model formula. This mathematical equation estimates the theoretical value of derivatives other investment instruments, taking into account the impact of time and other risk factors.<br> Check [[Black-Scholes|here]] for more info about the Black-Scholes indicator.<br> | ||
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The Option Delta indicator plots the option's Greek Delta risk value which is based on the asset's price series. The | The Option Delta indicator plots the option's Greek Delta risk value which is based on the asset's price series. The indicator requires the option data to be specified in the Input values (expiration month, expiration year, strike price, etc). Delta shows the expected risk of option price movement which is based on price changes in the underlying asset. | ||
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Revision as of 15:31, 28 September 2021
Definition
The Option Delta indicator uses the Black-Scholes model formula. This mathematical equation estimates the theoretical value of derivatives other investment instruments, taking into account the impact of time and other risk factors.
Check here for more info about the Black-Scholes indicator.
The Option Delta indicator plots the option's Greek Delta risk value which is based on the asset's price series. The indicator requires the option data to be specified in the Input values (expiration month, expiration year, strike price, etc). Delta shows the expected risk of option price movement which is based on price changes in the underlying asset.
When applied to a chart, this indicator displays one plot in a separate subchart from the main data series.
Default Inputs
ExpMonth_MM sets the month (1-12) the option expires, 0 by default.
ExpYear_YYYY sets the year the option expires, 0 by default.
StrikePr sets the option strike price, 0 by default.
Rate100 sets the risk free interest rate, 0 by default.
Volty100 sets the annualized volatility value, 0 by default.
PutCall sets the option type (Put=2, Call=3), put by default.
