Delta of an option that covers more than one share

dimanche 22 février 2015

Suppose a call covers 100 shares and the option delta is given as, say, .69484.



Then in order to delta hedge 10 of these shorted calls, one must buy .69484*10*100 shares.



Shouldn't it be:



(.69484/100)*10*100



or just



.69484*10



What i'm confused at is, if .69484 is the delta for a call that covers 100 shares, then shouldn't .0069484 be the delta of a call that covers only 1 share?





Delta of an option that covers more than one share

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