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Derivatives, Futures & Options

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Derivatives, Futures & Options

Delta

The rate at which an option's price changes for a one-unit change in the underlying.

Delta = Change in Option Price / Change in Underlying Price; ranges 0 to 1 for calls and 0 to -1 for puts ratio (x, times) Derivatives, Futures & Options

Derivative

A contract whose value is determined by the price of another asset, called the underlying.

Test: the contract's payoff is defined by reference to the price of a separate asset, rate or index qualitative