optionstrat (version 1.4.1)

calldelta: 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

Value

Returns the call delta

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.

Examples

# NOT RUN {
calldelta(100, 100, 0.20, (45/365), 0.02, 0.02)
# }