Delta (warrant)

Dynamic indicator that measures the relationship between the price of a warrant and the price of the underlying instrument

The delta ranges between 0 and 1 for call warrants, and between 0 and -1 for put warrants.

If a warrant is deep out of the money, fluctuations in the price of the underlying instrument will have a relatively minor impact on the price of the warrant, and the delta will be around zero. By contrast, a warrant that is deep in the money consists almost exclusively of its intrinsic value, and its performance will more or less match that of the underlying instrument. In this case, the delta will approach 1 or -1.

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