Hedge ratio

From ACT Wiki
Revision as of 15:26, 1 July 2022 by imported>Doug Williamson (Classify page.)
Jump to navigationJump to search

The proportion of a hedging instrument required to hedge an underlying position, compared with the amount of the underlying position itself.


Example

If four options are required to hedge a position of one unit of the underlying asset:

Hedge ratio = ¼

= 0.25.


See also