RUT & IWM Combined Delta Calc

Discussion in 'Options' started by rukuz, Mar 19, 2009.

  1. rukuz


    I'm currently short 3 RUT 450/460 call verticals and the position has a delta of -20. I am also long 3 IWM 47 calls with a delta of +78. Given that the IWM is 1/10th of the RUT, would that translate into 78 IWM deltas being equivalent to 7.8 RUT deltas? Just trying to figure out overall delta exposure to Russell 2000 index.

  2. dmo


    Let's start off by putting the decimal points in the right place so we're all clear about where we are. I assume your call verticals have a combined delta of -.20.

    Your iwm position has a combined delta of .78. That would be .078 relative to the RUT.

    So your overall position delta would be:

    -.122 deltas relative to the RUT.

    So if the RUT gains $1,000 in value, your overall option position loses $122 (looking at delta alone).