Please reference the two attached png files
The question is why does delta get more negative when the market drops??
1) In 1 of 2 the –
a) On Aug 20 the market dropped 23.9 pts (RUT).
b) I made an adj to bring delta down. I bought one 1140 put and the delta ended up at -4.40
2) In 2 of 2 –
a) On Aug 21 the market dropped an additional 14.10 pts
b) No adjust made yet but the delta went to -26.4
It seems that delta would go up if the market goes down.
Observation --- theta doubled and is negative indicating a net short overall position (am I right about the negative theta) – could this have some effect on delta?
OV takes a snapshot every 30 minutes and stores the data from that moment in time -- good or bad. Looks like there is bad marks involved. This occurs for brief periods in RUT and SPX daily. When the theta is way higher or lower than expected, I know prices are screwed up. Have you tried moving the time forward and/or backwards by 30 minutes to see if the greeks correct themselves?