Impact of Delta as Expiration Gets Closer - #Video


The video discussion is about how delta is affected as you get closer to options expiration. Duration is gone, so overall risk increases.

As expiration nears, the expected range of movement tightens. Therefore, as you get closer, delta goes closer to 0 or 1, faster, as the case may be with your option.

Study: $SPY, With an Option Out-of-the-Money (OTM), In-the-Money(ITM) and At-the-Money (ATM); 23 days to expiration.

The result? If you look at slide 6, the delta and the risk goes haywire at day 6 to expiration for at the money. The OTM Delta goes up from days 5-8. The ITM steadily goes closer to 1 (as expected).

It looks like Day 10, is the last day to get out. It is too difficult to manage this. Once you look at the chart on Day #6, it will become entirely clear.

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