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Derivatives

  Derivatives   |   Terms
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  • September 28, 2020
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Delta Cash

A form of delta that quantifies the price change effect in relative terms. Instead of absolute movements (which are typically captured by plain delta), delta cash captures percentage movements. Therefore, it is defined as delta multiplied by the underlying price:

Delta cash = delta × underlying price

δc = δ × St

To calculate the profit on delta cash for a percentage move p%, delta cash is multiplied by the percentage move:

Profit/ loss on delta cash = δc × p%


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