Delta Hedge Calculator

Calculate Delta Hedge Quantity



Formula

To calculate the Delta Hedge Quantity (\(DH\)):

\[ DH = \text{AVD} \times O \times 100 \]

Where:

What is Delta Hedge?

Delta hedge is a strategy used in options trading to reduce the risk associated with price movements in the underlying asset. The delta of an option measures the sensitivity of the option's price to changes in the price of the underlying asset. By hedging delta, traders can create a position that is neutral to small price movements in the underlying asset.

Example Calculation 1

Let's assume the following values:

Using the formula:

\[ DH = 0.5 \times 10 \times 100 = 500 \]

The Delta Hedge Quantity is 500.

Example Calculation 2

Let's assume the following values:

Using the formula:

\[ DH = 0.7 \times 20 \times 100 = 1400 \]

The Delta Hedge Quantity is 1400.