Ho to compute aggregate portfolio delta when portfolio contains several combinations related to different underlying assets.As I Know, the delta of option positions on the same underlying asset can be evaluated by mere summation of corresponding deltas. Please give you inputsRegards,

QuoteOriginally posted by: quanter9Ho to compute aggregate portfolio delta when portfolio contains several combinations related to different underlying assets.As I Know, the delta of option positions on the same underlying asset can be evaluated by mere summation of corresponding deltas. Please give you inputsRegards,In the absence of correlation, the delta of each asset would be independent and summing them would be meaningless. In a correlated market it would make sense to work out a "market delta" where the "market" is some combination of assets chosen according to your purpose (e.g. S&P500) and the "market delta" is the sensitivity of your portfolio to the market. This will be the sum of the products of each asset's portfolio weight with the sensitivity of the asset to the market as a whole:dP/dM = sum_i w_i del F_i dU_i/dM where P = sum_i w_i F_i, the F_i are the assets in your portfolio and del F_i is its delta w.r.t. its underlying U_i.How you compute dU_i/dM depends on what relationship you posit to represent each U_i in terms of M.