Given today’s GME action 📈, thought it was an apropos time to revisit our discussion about what happens when implied volatility goes turbo bid. At what vol do OTM, ATM options all hit 50d? At what vol do 1x1 callspreads and putspreads hit approximately zero? What happens to call values, and what happens to put values? Where is the inflection point at which deltas go to 100 for calls and 0 for puts? To do this, I used 2nd month Brent options with 31 trading days to expiration using a pro options pricer.
The first picture shows where most options hit 50d. I tested by jacking up the vols until I got to this point. The way to read the pic is 1st column strike, 2nd column call value, 3rd column call delta, 4th column put value, 5th column put delta , 6th strike value - same implied vols for both calls and puts on the same strike.

There seems to be interest in “Trader Lexicon” I’ll attempt to put a few together here in a 🧵. There are specific word choices and order of words so that mistakes are limited. Price, then the phrase “bid for “ and then size. Example: MSFT, I’m $245 bid for 300 shares. Or instead of “bid for” I can just say “for”. “ For”always means buyside to a pro. The word on the sell side is AT. The way you say you are selling something is size “at” price. Ie MSFT; I have 300 at $245.

Dear Twitter friends,
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