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I understand that Delta measures the rate of change of the theoretical option value with respect to the change of the underlying asset price.

This also represents the number of shares a call option writer is required to have in his portfolio in order to mitigate the relative risks.

In my software, this sensitivity is often reported discounted to the present time from option's expiration date.

Could you please explain why?

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  • $\begingroup$ well it's the NPV of the delta then. Maybe you got a European option there, which can only be exercised at expiry? $\endgroup$ – rupweb Jul 10 '17 at 12:39
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    $\begingroup$ As said, the delta is the number of shares you need to hedge NOW, why would you discount it ? $\endgroup$ – noob2 Jul 10 '17 at 12:46
  • $\begingroup$ @noob2: Exactly! I wouldn't discount it. $\endgroup$ – ZeroCool Jul 10 '17 at 13:18
  • $\begingroup$ Hi - Any thoughts on this yet? $\endgroup$ – ZeroCool Jul 16 '17 at 17:39

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