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DeltaThe measure of the rate of change of an option or warrant's price compared to the change of price of the underlying instrument.A delta of 0.5 on a call option (the right to buy a share) means that the option price rises by 30p if the share price rises by 60p. The delta on a put option (the right to sell) will always be negative because the option price falls as the share price rises.Similar MatchesDelta cross hedgeDelta cross hedgeA futures hedge that has both maturity and currency mismatches with an underlying exposure. Delta SpreadDelta SpreadA ratio spread that is established as a neutral position by utilizing the deltas of the options involved. The neutral ratio is determined by dividing the delta of the purchased option by the delta of the written option. See also Ratio Spread and Delta. Delta neutralDelta neutralDescribes value of a portfolio not affected by changes in the value of the asset on which the options are written. Delta sharesDelta sharesA term previously given to the shares of smaller companies least traded on the London Stock Exchange, along with alpha, beta and gamma shares. These terms were replaced by the normal market size classification in January 1991. Delta hedgeDelta hedgeA dynamic hedging strategy using options that calls for constant adjustment of the number of options used, as a function of the delta of the option. Further Suggestionsdelta neutral |
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