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Investing Glossary:
Hedge ratio (delta)
Copyright 2010,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
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| For options, Ratio between the change in an option`s Theoretical value and the change in price of the underlying Stock at a given Point in time. 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 2000 common shares, a 75% Hedge ratio would be Short (long) 1500 common for every 1000 preferred long (short). See: Delta.
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