Glossary

Investment Management

Delta

Delta is a risk metric that describes the change in price for a derivative instrument for a change in price of the underlying asset. In options trading, the delta is often quoted as the ratio of the change in the derivative value over the change in the underlying asset value, so that a long call option with a delta of 0.3 would rise by $0.30 for a $1 rise in the asset value. In interest rate swaps, the delta is often defined as the change in value of the swap for a 1 basis point rise in the underlying interest rate, so that a rec fixed swap would have a negative delta.