Chapter 40: Advanced Concepts 
FIGURE 40-2. 
Delta comparison, with XYZ = 50. 
100 
75 
~ ai 50 
0 
25 
40 
TABLE 40-2. 
45 50 55 
Strike Price 
60 65 
Delta comparison - varying time remaining with XYZ = 50. 
Delta 
Strike Price t = 1 year t = 6 months 
40 92 97 
45 79 83 
50 61 57 
55 41 30 
60 25 12 
65 14 4 
851 
t = 3 months 
99 
90 
55 
18 
3 
0 
For futures options, the term "shares per option" would be replaced by "shares 
per contract," which is always 1. This is the risk measurement of how much market 
exposure the option position has. Whether called position delta, ESP, or EFP, one 
uses the deltas of the individual options in his portfolio to calculate the overall expo­
sure. By summing the calculations for each item in a position, or even in an entire 
option portfolio, one can approximate how much market exposure the entire option