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Glossary > H > "Hedge ratio (delta)" Definition

Hedge ratio (delta)

The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. For convertibles, percentage of a convertible bond representing the number of underlying common shares sold against the shares into which bonds are convertible. If a preferred is convertible into 2.0 common shares, a 75% hedge ratio would be short (long) 1500 common for every 1000 preferred long (short). For options, ratio between the change in an options theoretical value and the change in price of the underlying stock at a given point in time. See: Delta

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Hedge ratio (delta) - The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. For convertibles, percentage of a convertible bond representing the number of underlying common shares sold against the shares into which bonds are convertible. If a preferred is convertible into 2.0 common shares, a 75% hedge ratio would be short (long) 1500 common for every 1000 preferred long (short). For options, ratio between the change in an options theoretical value and the change in price of the underlying stock at a given point in time. See: Delta

Hedge ratio (delta) : the ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. for convertibles, percentage of a convertible bond representing the number of underlying common shares sold against the shares into which bonds are convertible. if a preferred is convertible into 2.0 common shares, a 75% hedge ratio would be short (long) 1500 common for every 1000 preferred long (short). for options, ratio between the change in an options theoretical value and the change in price of the underlying stock at a given point in time. see: delta