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Option Delta on Expiration in QuantLib

Article Quant Q&A · Author: Rayzola
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Summary

The document describes a QuantLib question about calculating an option’s value and delta on its expiration date. Enabling reference-date events allows the net present value calculation to use intrinsic value, but the reported delta for an in-the-money option is NaN. The author asks whether an in-the-money option should instead have a delta of 100% and whether a global setting controls expiration-date behavior.

The post offers a practical modeling issue rather than a solution: it gives no explanation of QuantLib’s Greek calculation or a workaround. At expiry, standard smooth-model Greeks can be undefined or convention-dependent at the strike, while an in-the-money option’s limiting delta is often treated as approximately one for a call or negative one for a put. The precise reported value depends on option type, moneyness, and implementation conventions; the document does not establish a universal setting or resolve those details.

Key ideas

  • Including reference-date events makes the option’s expiration-date NPV use intrinsic value.
  • The author reports a NaN delta for an in-the-money option at expiration.
  • The post asks whether expiration delta should reflect the option’s limiting in-the-money exposure.
  • No global setting or implementation fix is provided.

Tags

OptionsDerivatives pricing
Full text
# QuantLib in Python, are there any existing methods to handle the options delta on expiration day?


# QuantLib in Python, are there any existing methods to handle the options delta on expiration day?












Tried [ql.Settings.instance().includeReferenceDateEvents = True] and it works for the calculation of NPV using intrinsic value of the option.

But Delta is nan for an in-the-money option. I understand that greeks mean nothing on the expiration date. But should the delta of an in-the-money option be 100%?

Are there any global settings to handle this delta-behavior on expirations?

Thanks

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.