Option delta

U

UT2Pro1689

New member
Hi Option Traders,
Can you shed some lights on using option delta in thinkscripts? I was not able to get the delta values that match TOS option chain.

I copied the following script from TOS and applied to a deep ITM option (.spy200221c297). The TOS option chain shows delta of 0.73 today while the plot shows 0.58, which is a big difference.

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

Does the Delta() in thinkscript support volatility smile approximation as it's my intended setting? or does it use other volatility calculation mode?

Thanks for your time!
ut2pro
 

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