delta neutral position

delta neutral position
дельта-нейтральная позиция

Ценные бумаги. Англо-русский словарь. . 2013.

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  • delta neutral — Describes value of a portfolio not affected by changes in the value of the asset on which the options are written. Bloomberg Financial Dictionary The term used to describe the situation where the net delta of a portfolio of options and futures is …   Financial and business terms

  • Delta neutral — In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged due to small changes in the value of the underlying security. Such a portfolio typically contains options and their… …   Wikipedia

  • delta neutral hedging — An option is delta hedged if an offsetting position has been taken in the underlying asset in proportion to the option s delta, creating, at that moment in time, a position that is immune to small changes in market direction. LIFFE …   Financial and business terms

  • Delta Neutral — A portfolio consisting of positions with offsetting positive and negative deltas. The deltas balance out to bring the net change of the position to zero. As a result, you neutralize the response to market movements for a certain range …   Investment dictionary

  • Delta Spread — An options trading strategy where the trader initially establishes a delta neutral position. The trader creates this delta neutral position by simultaneously buying and selling options in proportion to the neutral ratio. Using a delta spread, a… …   Investment dictionary

  • Delta-Hedging — Mit Delta Hedging bezeichnet man eine Absicherungsstragie, mit der man eine Optionsposition gegen Preisänderungen des Basiswertes absichert. Hierzu baut man eine Position im Basiswert auf, deren Wertänderungen bei Preisbewegung den Wertänderungen …   Deutsch Wikipedia

  • delta spread — A ratio spread that is established as a neutral position by utilizing the deltas of the options involved. The neutral ratio is determined by dividing the delta of the purchased option by the delta of the written option. See also ratio spread and… …   Financial and business terms

  • neutral hedge — hedge that is expected to yield a dollar neutral result of the combined position, regardless of price change in any part of the hedge securities. For any convertible trading at a premium, this ratio is less than 100%. The higher the convertible… …   Financial and business terms

  • Delta Hedging —    A method used by option writers to hedge risk by purchasing or selling the underlying instrument in the spot market in proportion to the delta of their options position. Effectively traders are trying to remain neutral in a particular market …   Financial and business terms

  • Gamma Neutral — A method of managing risk in options trading by establishing an asset portfolio whose delta rate of change is zero. A gamma neutral portfolio hedges against second order time price sensitivity. Gamma is one of the options Greeks along with delta …   Investment dictionary

  • Vega Neutral — A method of managing risk in options trading by establishing a hedge against the implied volatility of the underlying asset. A vega neutral option position will be not be sensitive to volatility fluctuations. These strategies are used to hedge… …   Investment dictionary


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