850 
FIGURE 40-1. 
Delta comparison, with XYZ = 50. 
100 
75 
$ 
<ii 50 
0 ',, .. .......... 
Low-Volatility Stock , 
Part VI: Measuring and Trading Volatility 
25 ', ', High-Volatility Stock 
', ',, .............. 
---.............. 
0 L..L _______ .....L _______ __:::::i~~ ..... -..:L-_ 
40 45 50 
TABLE 40-1. 
55 
Strike Price 
60 65 
Delta comparison for different volatilities with XYZ = 50 and 
time = 3 months. 
Delta 
Strike Price Low-Volatility Stock High-Volatility Stock 
40 100 94 
45 93 78 
50 51 53 
55 11 29 
60 1 13 
65 0 5 
referred to as EFP (equivalent futures position). To differentiate between the two 
terms, the delta of the option is generally referred to as "option delta," while the ESP 
or EFP is called "position delta." Recall that the position delta is computed accord­
ing to the following simple equation: 
Position delta = Option's delta x Shares per option x Option quantity