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Iam using Zerodha B & S calculator to calculate greeks of options below for Nifty now…Why is that for the same Spot and strike price the Call option delta is more than the put option delta ? Ideally should’nt it be 0.5 both sides as probability for the ATM to go in the money is same both sides mathematically … Can someone pls help … Thanks
I used the following to calcualte it… Sorry Iam unable to attach anything
https://zerodha.com/tools/black-scholes/
Spot - 11500
Strike - 11500
Expiry - 25/04/19
Volatility - 15%
Interest - 6.4%
Dividend - 0 -
Also can I rely on Zerodha B&S calculator tool to take delta neutral positions using options and futures ?
https://zerodha.com/tools/black-scholes/
@srinivas @iSTFF @NithinKamath @Abid_E_H
Short answer. They will not be the same if the interest rate is non-Zero.