What Is “Delta One” Trading in Derivatives?
"Delta One" refers to trading strategies where the payoff is linearly dependent on the underlying asset's price movement, meaning the Delta is close to 1.0 or -1.0. Examples include futures, forwards, and swap contracts, or deep in-the-money options.
These products essentially mimic the risk and return of holding the underlying asset directly, hence the term "Delta One."
Glossar
Delta One
Product ⎊ Delta one products are financial instruments designed to replicate the price movements of an underlying asset with high fidelity.
Delta One Product
Definition ⎊ A Delta One Product is a financial derivative structured to possess a delta value of, or extremely close to, one, signifying a near-perfect linear correlation with the price movement of its underlying asset.
Delta One Products
Calibration ⎊ Delta One products, within cryptocurrency derivatives, represent financial instruments engineered to maintain a theoretical delta of one, signifying a near-perfect hedge against the underlying asset’s price movements.