You are interested in buying some put protection for SP500 ETF SPY. SPY trading at 470. You are interested in a PUT option with 25 delta (ie delta per PUT is -0.25). Annual sigma is $125. DTE is 20 days. What is strike price that will generate that 25 delta for the put?

Answer rating: 100% (QA)

To find the strike price that corresponds to a 25 delta put option on SPY we need to use an options ... View the full answer