October 3, 2008
Option delta
bionicturtledotcom posted video:
Delta is one of the option Greeks. It gives the sensitivity of the call option value to changes in stock price. In this example, a delta of 0.61 implies we can hedge a long position in 61 shares by writing (i.e., taking a short position in 100 call options. But note delta is a linear approximation; the hedge requires frequent rebalancing.
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