Actually might be doable, if it can run on SPY 5 minute bars I suppose. @IsaacRudlich or @InBraised or @CautionPesimism wanna try?
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It doesn't change the trackingness much from what I remember, although in the context of the hypothesis it makes no sense.
if you update delta when spot moves, then spot lower => nope lower and spot higher => nope higher, right? hence “it’s a measure of intraday price movement”
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Not particularly, no. There's some tracking sure for options closely near the strike and on opex days, but in general NOPE's movement is largely dictated by incoming trades, which do not move in such a linear way.
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It'd be a bit silly to think that the net delta each day is being set by how the spot moves, and we have fairly ample existing data + observational data to reject that.
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It’s a recursive thing, so you constantly have new contracts coming in
Thanks. Twitter will use this to make your timeline better. UndoUndo
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