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Derivatives
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Re: PUBLIC COMMENT PERIOD - Volatility and Option Pricing Parameters Proposal
Matt Simpson / CME Group
28 Sep 2007 7:37AM ETThe 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
Matt Simpson / CME Group 28 Sep 2007 7:37AM ET
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