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Knox Finance
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Options
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Risk Management
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Options Auction
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Liquidity Providers
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Developers
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Epoch Mechanics
Auction Lifecycle
Contract Deployments
Appendix
Delta Strike Formula
Option Pricing Formula
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Delta Strike Formula
S
S
S
- spot price
Δ
\Delta
Δ
- option delta
σ
\sigma
σ
- implied volatility
τ
\tau
τ
- time to maturity
ϕ
\phi
ϕ
- normal cumulative distribution function
Delta strike price
K
d
e
l
t
a
K_{delta}
K
d
e
lt
a
is calculated as follows:
v
o
l
a
t
i
l
i
t
y
_
f
a
c
t
o
r
=
σ
τ
{volatility\_factor} = \sigma \sqrt{\tau}
v
o
l
a
t
i
l
i
t
y
_
f
a
c
t
or
=
σ
τ
t
o
t
a
l
_
v
a
r
i
a
n
c
e
=
σ
2
τ
{total\_variance} = \sigma^2 \tau
t
o
t
a
l
_
v
a
r
ian
ce
=
σ
2
τ
z
=
(
t
o
t
a
l
_
v
a
r
i
a
n
c
e
2
−
Φ
−
1
(
Δ
)
⋅
v
o
l
a
t
i
l
i
t
y
_
f
a
c
t
o
r
)
z = \Big(\frac{{total\_variance}}{2} -\Phi^{-1}(\Delta)\cdot{volatility\_factor}\Big)
z
=
(
2
t
o
t
a
l
_
v
a
r
ian
ce
−
Φ
−
1
(
Δ
)
⋅
v
o
l
a
t
i
l
i
t
y
_
f
a
c
t
or
)
K
d
e
l
t
a
=
S
e
z
K_{delta} = S e^z
K
d
e
lt
a
=
S
e
z
Developers - Previous
Contract Deployments
Next - Appendix
Option Pricing Formula
Last modified
5mo ago