Commodity future delta
Delta measures the degree to which an option is exposed to shifts in the price of the underlying asset (i.e. stock) or commodity (i.e. futures contract). Values range from 1.0 to –1.0 (or 100 to Delta article; Delta. The instantaneous rate of change of an options price with respect to a 1% change in the price of its underlying. Page Tools: Email this Page. Search this Page There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future All option trades have exposure to various greeks – Delta, Vega, Gamma, Theta and Rho. Rather than using more options to hedge Delta, Futures can be used to hedge Delta exposure with the added advantage of not altering the exposure of the other greeks. Using futures to Delta hedge is an advanced strategy and requires a large amount of capital.