The change in price of a call option for every one-point move in the price of the underlying security. also called hedge ratio or delta.
Related information about neutral hedge ratio:
- Neutral Hedge Ratio - Financial Dictionary - The Free Dictionary
The change in the price of a call for every one unit of change in the price of the underlying asset. The neutral hedge ratio varies according to length of time until ...
- What is neutral hedge ratio? definition and meaning
Definition of neutral hedge ratio: The change in price of a call option for every one-point move in the price of the underlying security. also called hedge ratio or ...
- neutral hedge ratio - Invest Definition
neutral hedge ratio definition: The number of options contracts necessary to offset exactly any changes in the price of a contract's underlying asset. This ratio ...
- * Hedge ratio - (Stock market): Definition
neutral hedge ratio The change in price of a call option for every one-point move in the price of... neutral spread Any profit-maximizing spread designed to create ...
- Convertible Arbitrage Strategy - AIMA Canada
neutral hedge ratio are the key return drivers, though the use of leverage is often the largest contributor to total return (see Figure 2 below). B. Volatility Trading ...
- Delta Hedging Strategies | eHow.com
In this situation, a trader will have to short an escalating amount of underlying asset to rebalance to a neutral hedge ratio. Gamma describes precisely how much ...
- Schaeffer's Investment Research - Glossary
Delta (also neutral hedge ratio) The percentage of price movement in the underlying stock that will be translated into the price movement in a particular option.
- 1.4 Theoretical Hedge Ratios
The contract size is 1 000 000 USD. (a) Calculate a delta neutral hedge ratio assuming that . (b) Calculate the number of contracts required to hedge the position ...