|
Derivatives
< Previous Next >
Re: PUBLIC COMMENT PERIOD - Volatility and Option Pricing Parameters Proposal
Chandan Nath / IMC
2 Oct 2007 11:15AM ETOne point.
Why should it be between -1 and 1? Of course its between -1 and 1 for the options we are familiar with but I do not see an overriding need to put boundaries on this value.
> Based on this feedback we will alter the proposal to modify the
> definition of tag 811 and change the name from PriceDelta to
> OptionDelta. This tag will be used rather than a new
> OptionHedgeDelta field.
>
> An option delta is defined as:
> 1. A value between -1 and 1
> 2. An expression of the change in the price of an option based on a
> movement in the price of the underlying
> 3. A value indicating the number of underlying equivalents necessary to
> create a delta neutral option position
>
>
> > The GTC in discussions on this topic felt that the PriceDelta
> > field (tag
> > 811) was ambiguous in name, definition and usage and a new field with
> > a definitive purpose is needed which clearly expresses that delta
> > is the change in the price of an option based on the movement of
> > the underlying
> > - OptionHedgeDelta
> >
> > We should be willing to consider keeping tag 811 but perhaps change
> > its name to the new proposed value of OptionHedgeDelta. PriceDelta
> > does not precisely convey the purpose and use.
> >
> > Matt Simpson
> >
> > > I'm not convinced that OptionHedgeDelta needs to be a new field.
> > > PriceDelta tag 811 is already used to represent the option's delta
> > > and is a number between 0 and 1. The only difference for this
> > > implementation that I see (compared to OCC's) is that it is
> > > multiplied by negative 1 to indicate short hedging positions. I
> > > would recommend that we use the PriceDelta and amend its
> > > description. Perhaps something like, "Delta calculated from an
> > > option's price. May be signed to indicate hedging ratio when used
> > > within the context of a trade or position."
Re: PUBLIC COMMENT PERIOD - Volatility and Option Pricing Parameters Proposal
Chandan Nath / IMC 2 Oct 2007 11:15AM ET
|
