calldelta {optionstrat}

Call Delta

Description

Calculates the delta of the European- style call option

Usage

calldelta(s, x, sigma, t, r, d = 0)

Arguments

s

Spot price of the underlying asset

x

Strike price of the option

sigma

Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns

t

Time to maturity in years

r

Annual continuously-compounded risk-free rate, use the function r.cont

d

Annual continuously-compounded dividend yield, use the function r.cont

Details

The delta of an option can be defined as the rate of change of the option value given a $1 change in the underlying asset price.

Value

Returns the call delta

Examples

calldelta(100, 100, 0.20, (45/365), 0.02, 0.02)