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Delta Cross-Hedge |
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Delta cross-hedge Delta Cross-Hedge An investment strategy that involves taking a position on a call and a put on the same underlying asset. Because the price movements of the two options are closely correlated, a negative movement on the call should be offset by a positive movement on the put and vice versa. A delta cross-hedge should create a delta neutral position. Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content. |
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