Hedge ratio (delta)

Definition: [crh] For options, ratio between the change in an option's theoretical value and the change in price of the Definition: underlying stock at a given point in time. For convertibles, percentage of a convertible bond representing the number of underlying common shares sold against the shares into which bonds are convertible. If a Definition: F="/?rd=preferred">preferred is convertible into 2000 common shares, a 75% hedge ratio would be short (long) 1500 common for every 1000 preferred Definition: long (short). See: Delta.

<< Go back