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Delta Strike Formula

Delta strike price $K_{delta}$ is calculated as follows:

{volatility\_factor} = \sigma \sqrt{\tau}

{total\_variance} = \sigma^2 \tau

z = \Big(\frac{{total\_variance}}{2} -\Phi^{-1}(\Delta)\cdot{volatility\_factor}\Big)

K_{delta} = S e^z

Last updated 1 year ago

$S$ - spot price

$\Delta$ - option delta

$\sigma$ - implied volatility

$\tau$ - time to maturity

$\phi$ - normal cumulative distribution function

Delta strike price $K_{delta}$ is calculated as follows:

{volatility\_factor} = \sigma \sqrt{\tau}

{total\_variance} = \sigma^2 \tau

z = \Big(\frac{{total\_variance}}{2} -\Phi^{-1}(\Delta)\cdot{volatility\_factor}\Big)

K_{delta} = S e^z