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Strategies & Market Trends : ajtj's Post-Lobotomy Market Charts and Thoughts
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To: Sun Tzu who wrote (83268)12/22/2023 11:14:23 AM
From: Qone0  Read Replies (1) of 97958
 
The delta of an “at-the-money” call option (where the strike price is near to the currently traded price of the stock) is typically around 0.5. The deeper a call option is in-the-money, the closer the delta will be to +1, and the more the option price will move uniformly in price to the underlying security.

This happens almost instantly as the option comes into the money. I've watch this happen. Many times now.

A at the money 0-DTE option on SPY is still packing about 50 cents of theta.
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