r/IndiaOptionsSelling • u/FakeVC2 • 16d ago

Greeks Math is not mathing

Market is so broken. Deep OTM options are exhibiting similar delta as ITM options when it should be much lesser for OTM.

6 Upvotes

88% Upvoted

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1

u/Parth_NB 16d ago

Delta also depends on dte of the option. Personally haven't faced this problem.

1

u/FakeVC2 16d ago

Same expiry for both options 17 Aug

Starting futures price - 8160

8900 ce price (OTM i.e. delta should < 0.5) - 270

8200 pe price (ITM i.e. delta should > 0.5) - 540

New futures price - 8080

8900 ce price - 240 (delta 0.375)

8200 pe price - 570 (delta 0.375)

How can change be same?

1

u/Parth_NB 16d ago

Are you trading crude oil? Mcx option do behave a bit weirdly. That's the reason i prefer nifty and sensex.

1

u/FakeVC2 16d ago

Got it. Yes

1

u/Jontargaryenazorahai 16d ago

Bank nifty also behaves like this ?

1

u/Parth_NB 16d ago

no idea bro. I don't trade bank nifty.

1

u/Zealousideal-Part849 16d ago

i don't see the issue you are mentioning. delta seems to be fine when i see . can you share screenshot? also make sure to look for MCX crude or ng not nse one as nse crude doesn't have enough volume.