Hello there,

Could somebody explain to me how it is possible for my model to calculate a delta of 117 for a particular option? (I contacted the software provider, and they told me that for a short interval (?) an option's delta could exceed 100. I had never heard of that, but upon further questionning on HOW its was possible I wasn't answered in a satisfying way, so I still don't know. Has anyone heard about this ever?

Thanks,