Option Delta (Indicator)
Input Information
| Name | Expression | Default | Description |
| ExpMonth_MM | Numeric | 0 | The month (1-12) the option expires |
| ExpYear_YYYY | Numeric | 0 | The year the option expires. |
| StrikePr | Numeric | 0 | The option strike price |
| Rate100 | Numeric | 0 | Risk free interest rate |
| Volty100 | Numeric | 0 | Annualized volatility |
| PutCall | Numeric | Put | The type of option (Put=2, Call=3) |
Market Synopsis
Using the Black Scholes option pricing model calculation, plots the Greek Delta risk value of an option based on the underlying symbol in the chart. You must specify the option input information. Delta is the expect option price movement risk, based on price changes in the underlying asset.
Plot Information
| Number | Name | Default Color | Description |
| Plot1 | Delta | Red | Plots the option delta value. |
When applied to a chart, this indicator displays one plot in a separate subgraph from the price data.