0 DTE Delta and Price Differences

Haven't been writing for awhile, thought this simple study was interesting to put it out. To be honest I'm not entirely sure what I want to get out of this when I started, it's more of curiosity to want to see how it looks like if I put this together.

So let me walk this through.

Capture a screenshot of Call/Put 0-DTE option chain which includes:

• Mid Price
• Deltas

Simply key these values into google sheet and calculate the differences for each row for both delta and price.

Then plot all the charts.

Ok now watch the visualisation on the chart.

Like I said I didn't know what I'm trying to get out of this but I just find there might be something to think about from this simple data point.

Just from looking at the charts, there's one obvious and key thing that caught my eyes.

ATM Put vs Call Price differences

Put Prices ATM doesn't really drop faster/slower until around 0.2 delta while Call Prices ATM drop slower then increases and peaks around 0.072 - 0.141.

This is interesting and kinda tell something. Call delta matches with prices much better than put.

It's also hard to make any interpretation or analysis because this is point in time data, it doesn't really reflect price movement as that might involve theta and vega.

I do think what I see above is related Gamma but I'm not exactly sure so I'm not calling it that.

Put Price Unevenness

Another smaller note is Put side has quite abit of price unevenness or inconsistency as it goes further OTM towards below 0.1 delta.

This somehow makes me think there might be some kinda edge to be caught here if I could programmatically compare and catch the better pricing for entry. Need to think about this more.

Like I say I'm not sure what I'm trying to get out of this. If you find this interesting or have your perspective to share, feel free to comment or catch me on discord.