Hedge ratio (delta)

The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. The New York Times Financial Glossary

Financial and business terms. 2012.

Look at other dictionaries:

  • hedge ratio — The relationship between the number of contracts required for a direct hedge and the number of contracts required to hedge in a specific situation. The concept of hedging is to match the size of a positive cash flow from a gaining futures… …   Financial and business terms

  • Hedge-ratio —   The proportion of underlying securities or options needed to hedge a written option.   The hedge ratio is determined by the delta …   International financial encyclopaedia

  • Delta —   Delta measures how rapidly the value of an option moves in relation to the underlying value. It is the change in an option s price divided by the change in the price of the underlying instrument. An option whose price changes by $1 for every $2 …   International financial encyclopaedia

  • delta — A measure of how much an option premium changes, given a unit change in the underlying futures price. Delta often is interpreted as the probability that the option will be in the money by expiration. Chicago Board of Trade glossary The… …   Financial and business terms

  • Delta Hedging — An options strategy that aims to reduce (hedge) the risk associated with price movements in the underlying asset by offsetting long and short positions. For example, a long call position may be delta hedged by shorting the underlying stock. This… …   Investment dictionary

  • Delta — The ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative. Sometimes referred to as the hedge ratio. For example, with respect to call options, a delta of 0.7 means that for every …   Investment dictionary

  • Delta — Also called the hedge ratio, the ratio of the change in price of a call option to the change in price of the underlying stock. The New York Times Financial Glossary * * * delta del‧ta [ˈdeltə] noun [countable usually singular] 1. STATISTICS a… …   Financial and business terms

  • Hedge (finance) — For other uses, see Hedge (disambiguation). Finance Financial markets …   Wikipedia

  • neutral hedge — hedge that is expected to yield a dollar neutral result of the combined position, regardless of price change in any part of the hedge securities. For any convertible trading at a premium, this ratio is less than 100%. The higher the convertible… …   Financial and business terms

  • Коэффициент хеджирования — (HEDGE RATIO (или DELTA)) ожидаемое изменение стоимости опциона, отнесенное к изменению рыночной цены финансового актива, лежащего в его основе …   Финансовый глоссарий

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