Delta estimates the amount a position should gain or lose with a 1-point change in the underlying price. It is one of the most importantto gauge the directional risk.
Theoretically, theof should become closer to zero toward date. But is the historical data consistent with theoretical number? To prove that, we ran a study by analyzing standard 45 DTE SPY .
We recorded the daily delta and the magnitude of daily delta changes at various levels. Watch this segment with Tom and Tony for the takeaways, and how delta risk would impact the position.