Stream Option Delta
Streams the real-time delta Greek for options contracts. Delta measures the rate of change in option price relative to a $1 change in the underlying asset.
Symbol Format
Options use OCC (Options Clearing Corporation) format:
- Format:
SYMBOL + YYMMDD + C/P + Strike(8 digits) - Example:
AAPL240315C00170000= AAPL Call, Mar 15 2024, Strike $170
Delta Values
| Delta | Meaning |
|---|---|
| 0.50 | At-the-money call |
| -0.50 | At-the-money put |
| 0.80+ | Deep in-the-money call |
| -0.80- | Deep in-the-money put |
| 0.20- | Out-of-the-money call |
| -0.20+ | Out-of-the-money put |
Notes
- Data streams automatically update in Excel
- Call delta: 0 to 1
- Put delta: -1 to 0
Syntax
=QM_Stream_Delta(Symbol)Parameters
Option symbol in OCC format
Returns
Option delta value (-1 to 1)
Examples
=QM_Stream_Delta("AAPL240315C00170000")=QM_Stream_Delta("MSFT240315P00400000")=QM_Stream_Delta(A1)=ABS(QM_Stream_Delta("AAPL240315C00170000"))When to Use
- Measuring directional exposure
- Position sizing calculations
- Delta hedging strategies
- Portfolio risk management
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Need gamma | QM_Stream_Gamma() |
| Need theta | QM_Stream_Theta() |
| Need vega | QM_Stream_Vega() |
| Need implied volatility | QM_Stream_ImpliedVolatality() |
Common Issues & FAQ
What does delta tell me?
Delta estimates how much the option price will change for a $1 move in the underlying. A 0.50 delta means ~$0.50 option price change per $1 stock move.
Why is put delta negative?
Put options move inversely to the underlying stock, so their delta is negative.
Excel Templates Using Stream Option Delta
These ready-made MarketXLS templates call QM_Stream_Delta() in their worksheet formulas. Open one to see the function working inside a complete model.
- NDX100 Options Matrix: Comprehensive Risk-Weighted Analysis for Optimal Option Selection across All
- Option Chain Matrix
- Options Rollover Strategy Example Template
- Template for Accessing Real-Time Data on US Stock Option Bids, Greeks, Open Interest, and Unusual Op
- ^SPX Real time Option Chain with SPXW
- Option Chain Excel Sheet (SPY Example)
- Delta Neutral Hedging
- Poor Man's Covered Call (PMCC) - Advanced Options Income Strategy with Real-Time Greeks & Analytics
Related Formulas
More MarketXLS Price Quotes (Streaming) formulas you can use in the same worksheet:
- Stream Option Volatility Change
- Stream Percentage Change
- Stream Percentage Change
- Stream Post Market Change
- Stream Post Market Change
- Stream Post Market Last
- Stream Post Market Last Price
- Stream Post Market Last Trade Time
See QM_Stream_Delta used in a complete workbook: Diagonal Spread: Complete Options Strategy Guide with Excel Setup
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