Have you tested the results in your table on real Life options?
When tbo was selling his put options, I said Delta is about 0.4 and that the probability of him being
Excersised is about 40% and bang it happened.
Your table seems to be completely wrong.
I trade Options and as SP is changing I check almost automatically how the option price is responding and how accurate the relevant delta is. The delta and implied volatility are sometimes wrong by quite a bit, but only for short period of time. This is especially true when there are violent price movements and the option price is uncertain until some stability is achieved. There are some experienced traders supported by good programs who are on the lookout for this short term irregularities and are smartly increasing the probability of success by either buying or selling.
Distributions are very often modified normal distributions.
In determining the implied volatility the important factor is human behaviour, human input, or if like market sentiment.
Options are not for you, you said, and I agree after looking at your table of deltas vs P(exercise).
I think I have Natenberg somewhere in my electronic library.
Is Franky nice to me? He said that I have scrap in my head. I say that he has not enough brain power to appreciate the significance of scrap in current and future steel making and he will never have.
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