Percentage Spot Delta

Finance
Pari Passu
May 11, 2021
Finance
Provisional Call Protection
May 11, 2021

The ratio of the percentage change in present value of an option with respect to the percentage change in spot, where both percentage changes are expressed in terms of the same pair of currencies (exchange rate), that is, currency 2/ currency 1(or ccy2/ ccy1).

This form of delta is also known as a premium-adjusted pips spot delta.

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