## Timeline Call Delta

Timeline Call Delta The Timeline Call Delta provides the equivalent underlying asset position thus enabling accurate hedging of the option using the underlying asset. The timeline call delta is the aggregate of the deltas of the composite one touch calls that make up the timeline call. In the following examples we assume the call timeline […]

## Put Accumulator Delta

Put Accumulator Delta The put accumulator delta is the change of the put accumulator price due to a change in the asset price: ∆=dP/dS where S is the underlying price. Put Accumulator Delta Over Time Put accumulator deltas are displayed against time to expiry in Figure 1. As the incremental pay off increases from 10 to 40 the absolute […]

## One Touch Call Delta

One Touch Call Delta The one touch call delta is always positive or zero and roughly double binary option call delta with same asset price, strike, time to expiry (interest rate and yield). The one-touch call delta is also discontinuous (unlike the one-touch call theta and one-touch call vega) at the strike which creates problems for the trader […]

## One Touch Put Delta

One Touch Put Delta The one touch put delta provides the hedger with a ratio that enables a neutral P&L in the face of the underlying price moving. One touch put delta is the first differential of the one-touch put price with respect to the underlying price and is depicted as: dP/dS where P is […]

## Double No Touch Delta

Double No Touch Delta Double no touch delta describes the change in the fair value of the double no-touch option due to a change in the underlying price. The double no touch delta is the first derivative of the double no-touch fair value with respect to a change in underlying price and is represented as: […]

## Duke of York Delta

Duke of York Delta Duke of York delta describes the change in the fair value of an Duke of York due to a change in the underlying price. The Duke of York delta is the first derivative of the Duke of York fair value with respect to a change in underlying price and is represented […]

## Eachway Tunnel Delta

Eachway Tunnel Delta Eachway tunnel delta describes the change in the fair value of an eachway tunnel due to a change in the underlying price. The eachway tunnel delta is the first derivative of the eachway tunnel fair value with respect to a change in underlying price and is represented as: ∆=dP/dS where  S is […]

## Call Accumulator Delta

Call Accumulator Delta Call accumulator delta describes the change in the fair value of a call accumulator due to a change in the underlying price. This delta is the first derivative of the call accumulator fair value with respect to a change in underlying price and is depicted as: ∆=dP/dS where  P is the call […]

## Eachway Put Delta

Eachway Put Delta Eachway put delta describes the change in the fair value of an eachway put due to a change in the underlying price. The eachway put delta is the first derivative of the eachway put fair value with respect to a change in underlying price and is depicted as: ∆=dP/dS where  S is […]

## Eachway Call Delta

Eachway Call Delta The eachway call delta describes the change in the fair value of an eachway call due to a change in the underlying price. The eachway call delta is the first derivative of the eachway call fair value with respect to a change in underlying price and is depicted as: ∆=dP/dS where  S […]