# Questions tagged [delta]

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### FX Spot Delta market standard calculation (Trader View)

I am just writing my thesis about FX instrument and hedging and one question popped up which I can't solve. Maybe it is silly but cant find anything about it how the delta of a fx spot is defined and ...
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### What is the shape of the delta graph of the binary option?

I was wondering what the shape of the graph of the delta or the binary option would be.
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### What is the delta of a portfolio invested in different stocks?

I understand that if I have a portfolio invested in stock A and options on stock A, the delta of my portfolio is going to be the weighted sum of the delta of the stock (=1) and of the option. Now if ...
69 views

### What exactly does shifting a barrier in a barrier option mean and how does it hedge delta?

How exactly is shifting the barrier to hedge delta implemented in case of barrier options. Is it just changing the barrier, if so, how does it hedge delta or is it making the barrier a range like a ...
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### Understanding delta based strike selection in an Iron Condor

I am reading a small book on the proper use of Iron Condors (link). I do not use these strategies as I have had a very hard time being profitable on them. This book mentions some strategies to ...
319 views

### Delta Hedging/ Exchange for Currency Options

I'm looking at 2 cases of hedging EURUSD, using call spread or range forward. Lets say spot is 1.1300 and my buy call is at 1.1300 and sell call is at 1.1500. Hypothetically I'm assuming that this is ...
79 views

### Concentration risk in Rates

What are some good ways to assess the concentration risk for a rates curve or by currency when volumes traded by instrument are not easily available? For ex, if for some currencies, the PV01 at ...
112 views

### Portfolio Delta - long call, long put and short call

First and foremost, I'm trying to understand why you would construct a portfolio made up of long calls, long puts and short calls. I find this really abstract and confusing. I've tried drawing the pay-...
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### Option delta difference between OTM call and OTM put

Looking e.g. at Natural gas futures options, I see for June contracts (expiration 25th May) the follwing data: Call 4.3 (26.8% difference to Underlying) 36.2% IV and a delta of 0.04 Put 2.5 (26.3% ...
Let $dS/S = \sigma(S,t) dW$. Let the local volatility be known, i.e, we know the formula $\sigma(S,t)$. How do I derive $\Delta$ of a regular call in this model? Let BS be the Black Scholes price, ...