Checking the Deltas

I created the following chart by pasting two charts on top of a third one. I'm trying to check how accurate are the deltas that I get from ivolatility.com and it would be nice to have a charting tool that would allow to do that.



As of the end of last week the delta of GEJG was 0.45 and the delta of GEVG was -0.58. Therefore I bought 58 GEJG contracts and 45 GEVG contracts. Now the chart above shows that when GE price dropped from $34.96 to $34.6 between Monday and Tuesday, GEJG dropped from $0.41 to $0.30, which is a delta of (0.3-0.41)/(34.6-34.96) = 0.30, and GEVG increased from $0.60 to $0.80, which is a delta of (0.8-0.6)/(34.6-34.96) = -0.56.

The following charts show the relative performance of the securities in the portfolio:










Categories: stock options, volatility
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