Options Delta Sheets

The Options delta sheet is a matrix of theoretical values and deltas. They are calculated at the end of each trading day, and used to look up the fair value and delta of a listed option on the following trading day. They are used extensively on the trading floor where they are also known as "options cheat sheets".

Strike prices are arranged along the horizontal axis, centered on the at-the-money strike. Futures prices are down the vertical axis, centered on the rounded price closest to the current futures settlement.

Under each strike price is an entry for a call and the put, with fair value and the delta listed under each option. Deltas are shown multiplied by 100 and rounded to the nearest whole number.

Alongside each futures price are 3 volatility assumptions, centered on the options implied volatilities for the current day.

To find the fair value and delta of an option, locate the futures price on the vertical axis, choose a volatility remembering that the center value represents no change from yesterday, with the others representing a new volatility assumption, either higher or lower than yesterday. Then move across the page, find the strike price and select the call or the put. The two values are the fair value and the delta for the day. Call deltas are always positive, put deltas are always negative.

Remember these values are only good for one day only, and each sheet is dated with the date produced and the date assumed for the next trading day.