Affichage des articles dont le libellé est Delta of an option that covers more than one share. Afficher tous les articles
Affichage des articles dont le libellé est Delta of an option that covers more than one share. Afficher tous les articles

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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