Feature: A delta is signed and bounded

Description: The delta says how much a contract moves with the index, and its sign says which way: a call's is positive and a put's negative. A stop logic reads it, so deep in the money it nears 1 (or -1 for a put), far out of the money it nears 0, and at the money a call and a put hedge each other.

File name: delta.feature

Relative path: features/delta.feature

Scenarios

Chart

Status Progress

Passed	100.00 %
Failed	0.00 %

Scenario Outline: A call's delta is positive and a put's negative

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7300

And 4 days to expiry

And a vol of 0.18

Then the delta is positive

Scenario Outline: A call's delta is positive and a put's negative

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7700

And 4 days to expiry

And a vol of 0.18

Then the delta is positive

Scenario Outline: A call's delta is positive and a put's negative

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7300

And 4 days to expiry

And a vol of 0.18

Then the delta is negative

Scenario Outline: A call's delta is positive and a put's negative

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7700

And 4 days to expiry

And a vol of 0.18

Then the delta is negative

Scenario Outline: Deep in the money and about to expire, a delta is all or nothing

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7300

And 0.27 days to expiry

And a vol of 0.12

Then the delta is 1 within 0.005

Scenario Outline: Deep in the money and about to expire, a delta is all or nothing

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7700

And 0.27 days to expiry

And a vol of 0.12

Then the delta is -1 within 0.005

Scenario Outline: Deep in the money and about to expire, a delta is all or nothing

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 8000

And 0.27 days to expiry

And a vol of 0.12

Then the delta is 0 within 0.005

Scenario Outline: Deep in the money and about to expire, a delta is all or nothing

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7000

And 0.27 days to expiry

And a vol of 0.12

Then the delta is 0 within 0.005

Scenario: At the money, a call and a put hedge each other

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7500

And 0.27 days to expiry

And a vol of 0.12

Then the call and put deltas sum to 0 within 0.02