I heard someone saying that "in FX world, NOP Delta is Delta times 10,000", what does it mean ? I take Delta is always the change of option price divided by the change or the underlying, e.g. EUR/USD rate. how come there's a "NOP" concept and 10000 involved?

  • $\begingroup$ In FX NOP is Net Open Position, a way to measure and set limits to the position of a trader. If the position includes options, then the delta of the options is included in the NOP. But without further context it is hard to decode the meaning of the sentence you heard, there is not enough information. Probably they are talking about details of NOP calculation in a particular case. $\endgroup$ – noob2 Jan 17 '18 at 13:34
  • $\begingroup$ My guess is that the position in foreign currency is being tracked in units of for ex. 10000 EUR. Then it makes sense that the delta has to be multiplied by 10000 to scale it appropriately. For stocks, the position is usually expressed in "contracts" of 100 shares and then the delta is scaled by 100. $\endgroup$ – noob2 Jan 17 '18 at 14:49

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