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Composite delta

• Is the weighted average of the deltas associated with each underlying price scan point. It is used by SPAN® and other systems to simplify portfolio evaluations. SPAN® uses its Composite Delta as the best quick estimate of what the contract's delta will be after the lookahead time has passed. It is included with the risk arrays transmitted in the SPAN® Risk Parameter File.

 
 Embedded terms in definition
 Average
Delta
Its
Lookahead time
Parameter
Point
Portfolio
Risk arrays
Risk
Time
Underlying
Weighted average
Will
 
 Related Terms
 Delta
Delta equivalency
Delta hedge
Delta hedge of an option
Delta neutral
Delta of an option
Hedge ratio delta

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