Why Matched OTM Call and Put Options Can Have Different Deltas
Summary
The note asks why an out-of-the-money natural gas call can have a larger absolute delta than a put whose strike is at a similar percentage distance from the underlying, even though the put has higher implied volatility. It gives example quotes and reports an answer about why options with otherwise matched characteristics can still differ in price and absolute delta.
The answer identifies interest rates and the return-distribution assumptions behind Black–Scholes as relevant influences: rates affect call and put values differently, and model asymmetry can produce different option sensitivities. The examples in the question do not isolate these effects, since the strikes and implied volatilities are not identical. The explanation is brief and does not quantify each factor or establish that they alone account for the observed deltas; a fuller comparison would require consistent inputs and the applicable pricing model.
Key ideas
- Interest rates affect call and put prices differently through financing and opportunity costs.
- Black–Scholes assumptions can contribute to differences between call and put values and deltas.
- Similar percentage distances from the underlying do not guarantee equal absolute deltas.
- The quoted example has different strikes and implied volatilities, so it does not isolate one cause.
Tags
Full text
# Option delta difference between OTM call and OTM put # Option delta difference between OTM call and OTM put Looking e.g. at Natural gas futures options, I see for June contracts (expiration 25th May) the follwing data: Call 4.3 (26.8% difference to Underlying) 36.2% IV and a delta of 0.04 Put 2.5 (26.3% difference to Underlying) 40.7% IV and a delta of -0.02 I would have expected that the absolute value of the delta of the Put would be higher than that of the call due to the fact the difference to the underlying of the put is smaller (only even slightly) and the IV of the Put is higher. But it is the opposite. What is the reason, please? Thank you Edit: I got a couple of downvotes and I am not sure why. It is similar to the second question of this post (Call vs. Put Option) and judging by the answers, there was some discussion about it. On a sidenote, I think it is a questionable attitude to downvote questions (until now I was not even aware that that is possible. On the tour of quant exchange there is no word about it), especially if the guys who are doing it, feel even above to explain why they did. If you think a quesion is too basic (or too stupid) why not just ignoring it. This downvoting has a rude and arrogant character, in my opinon. ## Answer by Ultimate LaForsch (score 2) https://quant.stackexchange.com/a/33531 The reason for different absolute deltas (and prices) for OTM-call- and -put-options with exactly the same characteristics (same absolute distance from strike to underlying price, same IV, etc.) is twofold: - The effect of interest rates. Ceteris paribus higher interest rates lead to higher call prices and lower put prices due to opportunity costs - The skewness of the log-normal price return distribution assumption of the Black-Scholes pricing model.
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