options portfolio delta corresponding to different underlyings

quanter9 · February 9th, 2012, 4:44 am

Ho to compute options portfolio delta corresponding to different underlyings? As I Know, the risks of option positions on the same underlying asset can be evaluated by mere summation of corresponding Greeks. However, this does not work when the portfolio contains several combinations related to different underlying assets. Because delta and vega are not additive for options corresponding to different underlyings, their summing is impossible here.Regards,Jeevab

acastaldo · February 9th, 2012, 2:36 pm

You are correct. The purpose of Delta is to allow hedging. If your portfolio requires hedging with different instruments then of course you need to keep track of different Delta's with respect to those instruments. You can't aggregate them.

universalist · February 9th, 2012, 4:52 pm

Have you heard of Beta adjusted Delta? It gives you a measure of how much market risk your entire portfolio is exposed to. But from a trading/risk magement perspective, you usually need to delta hedge per asset.

quanter9 · February 13th, 2012, 4:11 am

I am collecting literature on Beta adjusted Delta?. Please share any use full links in this regard.