General Topics
Technical Topics
Brokerage Firms
Community Lounge
Site Support

# strike sensitivity or dual delta

Discussion in 'Options' started by bines, Sep 5, 2008.

1. ### bines

It's possible to receive a short explanation what the intention of dual delta ,delta=0.496 ,dual delta=-469?

thanks

2. ### bines

dual delta=-0.469

3. ### dmo

I've never heard of dual delta. But I'll hazard a guess.

Delta is sometimes defined as how much the value of an option will change with a one-point move in the underlying. But if the underlying goes up a point, the option will change in value a different amount than if the underlying goes down a point.

Perhaps this is what they mean by dual delta. Two numbers - one the amount the option changes when the underlying goes up a point, the other the amount the option changes when the underlying goes down a point.

Like I said, just a guess. It fits the fact that these are two almost-identical deltas, one positive and one negative.

4. ### dd4nyc

Dual delta is defined as derivative (rate of change) of price with respect to strike. For example CME front month 320 call has mid-market of 17.50 and 330 at 11.80

Dual Delta = (11.80-17.50)/(330-320) = -0.57

For most models like black-scholes & heston type models the relationship between delta and dual delta is trivial:

Delta = 1/StockPrice * ( OptionPrice - Strike * DualDelta )

5. ### bines

thank you !

WHILE YOU'RE HERE, TAKE A MINUTE TO VISIT SOME OF OUR SPONSORS: