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

Examples

=QM_Stream_Delta("AAPL240315C00170000")
Delta for AAPL call
=QM_Stream_Delta("MSFT240315P00400000")
Delta for MSFT put
=QM_Stream_Delta(A1)
Option symbol from cell
=ABS(QM_Stream_Delta("AAPL240315C00170000"))
Absolute delta

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

Q: What does delta tell me? A: 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.

Q: Why is put delta negative? A: Put options move inversely to the underlying stock, so their delta is negative.

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