| 单词 | DELTA HEDGE |
| 释义 | The process of reducing or neutralizing the exposure of an OPTION to the direction of the market. Delta HEDGING is accomplished by establishing a DELTAequivalent LONG POSITION or SHORT POSITION in the UNDERLYING reference against a long or short position in the option. Long CALL OPTIONS have a positive delta, i.e., the value of the option increases as the market increases, and can thus be hedged with a deltaequivalent short position in the underlying; short calls have a negative delta and are thus neutralized with a deltaequivalent long position in the underlying. Similar hedges can be constructed for long and short PUT OPTIONS. Delta hedging also works in reverse, where an underlying position can be protected through deltaequivalent positions in options. To remain effective, a delta hedge must be rebalanced as the market moves, which may mean several times per day. |
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