does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
I came across some graphs depicting the delta of a down-and-out call. They show that, if the risk free rate of return is 0, the delta is constant at 1. However, if the rate of return is for example ...
assume I have following delta-term vol data from broker: ...
Just want to check whether i understand it correctly: Long Calls have positive delta Long Puts have negative Delta Long stock has 0.01 delta 100 Shares have 1 delta Therefore: Covered Call = 1 ...
IR01 measures the sensitivity of a portfolio or derivative to a parallel shift in the yield curve. Sometimes this is DV01 Dollar value (or PV01 present value). Is it always?
Is my intuition correct? If we buy a put we want to hedge against price increasing, so we buy the underlier. If price increases, the absolute value of delta decreases so we need to reduce our hedge ...