@Delta (Function)

The @Delta function calculates the risk value Delta of an option or position. This function is designed primarily for use in OptionStation.

@Delta(Daysleft, StrikePr, AssetPr, Rate100, Volty100, PutCall)

A numeric value representing the Delta value of an option.

Name	Type	Description
DaysLeft	Numeric	Sets the number of calendar days left for the option.
StrikePr	Numeric	Sets the strike price of option.
AssetPr	Numeric	Specifies the price of the underlying asset
Rate100	Numeric	Sets the risk-free annual interest rate, in percent.
Volty100	Numeric	Sets the volatility of annual return, in percent, of the underlying asset.
PutCall	Numeric	Sets if it is a Put or Call option. Put or 2 = Puts; Call or 3 = Calls.

The Delta of an option (on non-dividend paying stock) equals the option price sensitivity vs. stock price.

With the input parameter DaysLeft you can use the date functions DaysToExpiration or Next3rdFriday.

With the input parameter Rate100, you can pass in a constant or attach an appropriate index as Data 2 and pass in its price.

With the input parameter Volty100 you can pass in a constant or use one of the volatility functions - ImpliedVolatility or VolatilityStdDev.

Plot1( @Delta( DaysToExpiration(3, 2007), 34.90, Close, Rate100, Volty100, PutCall ), "Delta" ) ;