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#options needed for hedge = # stock shares/delta
if delta moves away from zero as in going from 0 to 1, the delta increases. 100 options necessary for 1000 shares and delta of 10. if delta increase to 15, then # options needed is 1000/15 which yields less than 100 options so i would guess decrease? |
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发表于 2013-4-14 19:56
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