Is there a free website that accurately reports the Greeks (or at least, the Delta) of stock options?

Question

I took a class that recommended buying options whose Delta is between 0.7 and 0.9 (supposedly, in this range the trade is less risky).

I just spent an hour looking at Greeks at the E*TRADE web site (where my brokerage account is), and came up dry... all the Deltas were reported as either zero or 1.0, nothing in between. Is this a bug with E*TRADE's site? just laziness on their part?

Do you know of a free website that does a good job of accurately reporting Greeks (or at least, Delta)? (I know you can get free options chains at bigcharts.com and Investopedia.com, but I don't think they include any Greeks.)

This 0.7-to-0.9 strategy seems impossible to follow, if I can't find any options whose Delta is in this range! Any tips you could provide would be greatly appreciated.

(impliedvolatility.com may have provided this info in the past, but seems to be defunct now.)

Answer 1

(1) I suspect the reason you got the odd results from E*trade is that you did your query when the bid and ask quotes from the previous sesion had already been reset and the new quotes from today's session were not available yet. I suspect if you tried again now you would get accurate data. (I do not use E*Trade so I cannot check.)

(2) You can use an options calculator, such as the one at

http://www.ivolatility.com/calc/

to get the greeks at any time.

(3) The only options that will have a delta between 0.7 and 0.9 are in-the-money call options. These will be less risky than out-of-the-money call options from one view since the amount of leverage is lower, but more risky from another perspective, since you will pay more per contract.