delta/hedge ratio

bananass · May 18, 2018, 2:43am

so delta = (C⁺ - C^-) / (S⁺ - S^-)… am i correct in assuming this is basically the rate of change of the calls relative to rate of change in the underlying stock?

is there some other meaning or interpretation for this delta/hedge ratio?

thanks

125mph · May 18, 2018, 3:21am

No, what you have is the hedge factor.

I don’t think this is delta.

S2000magician · May 18, 2018, 4:51am

It is.

125mph · May 18, 2018, 5:21am

Interesting. How’s this related to N(d₁)?

S2000magician · May 18, 2018, 5:40am

One’s discrete, the other’s continuous.