Black-Sholes delta

import numpy as np 
from scipy.stats import norm

def delta(flag, s, k, t, r, v): 
  d1 = (np.log(s/k)+(r+v*v/2)*t)/(v*np.sqrt(t)) 
  if flag == “C”:
    return norm.cdf(d1) 
  else: 
    return norm.cdf(-d1) # +signed put delta

Type = ‘C’ # call
S = 97.65 # underlying
K = 100.00 # strike
T = 30/365 # 30 days to expiry (in years)
R = 0.00 # “risk-free” rate
V = 0.12 # 12 vol
delta(Type, S, K, T, R, V)
0.25044822

Type = ‘P’
S = 3000
K = 2900
T = 30/365
R = 0.00
V = 0.20
delta(Type, S, K, T, R, V)

0.27

S = 2950
T = 29/365
delta(Type, S, K, T, R, V)

0.37