Open MysticDakra opened 1 year ago
We use historical implied volatility to deduce delta for call.
In a highly volatile market we want to be more risky and select delta close to the ATM. In a low volatile market, we would like to be safe and select lower deltas = OTM options.
https://docs.google.com/document/d/1quVypJM5qxAZKKew79aGA625x1C0lZBpfmJtVLZvTp0/edit
We use historical implied volatility to deduce delta for call.
In a highly volatile market we want to be more risky and select delta close to the ATM. In a low volatile market, we would like to be safe and select lower deltas = OTM options.
https://docs.google.com/document/d/1quVypJM5qxAZKKew79aGA625x1C0lZBpfmJtVLZvTp0/edit