I am trying to get out of a long put for the crude H at 75 strike. We got it for $2.54/b and I want to sell it for 3.21 while the last and only trade so far has ben at 2.96.

Hitting the wrong buttons, 231 instead of 321, showed the delta that MFg is using and the limit price change for this option. The interesting fact is that Trade Station tells about a delta of 0.3335.

 

I wonder how they get those bands? is it relative to the underlying? obviously since delta goes with the futures price.

 

Apparently for the theoretical value get to 227 the underlying should move 80%. [as I write the market goes to 255 because crude exploded from 7336 to 7440, overshooting the Vwap; I move the limit order down to 270, then to 260, las quote was 255, my Boss tells me to close the position since I am not coming tomorrow, so I move to 259, I am worry because we have no stoploss level  and when there is such no target, you have to get out instantly, ……….Connection goes off, I have to restart the platform which means 2 minutes  way, the system goes back (I the background I am listening “Bienvenida emproista”) the system comes back and instantly I got the “order fill” alarm. We went out at 259.

 

So the delta was telling me that a tough move was needed to get to the lower band, and when I was thinking about it (learning) the market gets a violent move upwards and basically end up buying at 255 on friday and sell today at 259.