Eurodollar Delta

[charliechan]

Hi,

Please can someone post the current delta for the Eurodollar June 11 98.375 & 98.625 Puts please? (standard Black-Scholes)

My data feed is posting 43 and 44.6 respectively, which seems odd given last week they were at 16.5 and 25.9 and the future has moved further away since.

Thanks

CC

 

[Martinghoul]

Using Friday's closes (EDM1 99.25; 83 put 8.25, 86 put 10.75), I see 30.18 and 37.3

 

[charliechan]

Thanks v much Martinghoul.

What feed are you using? My settles are also different at 8 & 11. These are from IQ Feed/DTN

 

[Martinghoul]

Thanks v much Martinghoul.

What feed are you using? My settles are also different at 8 & 11. These are from IQ Feed/DTN

I see these in BBG, but you can check on the CME website, which agrees with me.

http://www.cmegroup.com/trading/interest-rates/stir/eurodollar_quotes_settlements_options.html

 

[charliechan]

Scary!

Thanks