Delta

Delta ( IDataHolder Volatility );

Default values:

Volatility: imp_volatility(getUnderlyingSymbol())

Description

Calculates the delta option greek.

Input parameters

Parameter Default value Description
Underlying Price close(getUnderlyingSymbol()) Defines price to be used in calculation of delta.
Volatility imp_volatility(getUnderlyingSymbol()) Defines volatility to be used in calculation of delta.

Example

declare lower;
def epsilon = 0.01 * close(GetUnderlyingSymbol());
plot approxDelta = (OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon;
plot Delta = Delta();

This example illustrates the approximate calculation of delta by dividing a change in the theoretical option price by a change in the underlying symbol price.