New answers tagged delta
1
If Bank A buys 10mm of a 30 delta call from Bank B, then sells 3mm of the forward to Bank B as a delta hedge, then you can think of the 3mm delta hedge as (short 3mm call plus long 3mm put) using put call parity. Therefore , the overall trade can be thought of as : bank A buys 7mm of a call and 3mm of a put at the same strikes from bank B. Is this what ...
1
Note that
\begin{align*}
Call_{\rm BTC}=\frac{1}{S}Call_{\rm USD}.
\end{align*}
The premium adjusted delta $Delta_{PA}$ is defined as the change of $Call_{\rm BTC}$ with respect to the change of the spot in BTC, that is,
\begin{align*}
Delta_{PA} &= \lim_{\Delta S\rightarrow 0}\frac{\Delta Call_{\rm BTC}}{\frac{\Delta S}{S}}\\
&=\lim_{\Delta S\...
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