Beta-weighted delta
Definition · Level 5 · Greeks & volatility
Keep reading with Tradecraft
Without a subscription, you can read three definitions every 30 days. Tradecraft explains all 988 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
A book’s delta expressed in index shares: delta × (stock price ÷ index price) × beta, summed over positions. It shows how the book moves with the market.
Example
+120 and −144 index shares → net −24.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Dollar gamma and beta-weighted delta”: Put every position on one scale before adding: dollars for gamma, index shares for delta.
Related terms
- Dollar gammaGamma on a common scale: position gamma × S² ÷ 100 is the change in dollar delta for a 1% move.
- 25-delta optionThe out-of-the-money call or put whose delta is ±0.25: the standard reference strike for quoting skew, and very roughly a 1-in-4 chance of finishing…
- Beating the priced moveJudging a straddle by comparing the move that actually happens with the move the straddle’s price implied, not with zero.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant volatility, no jumps and…
- Black–Scholes inputsSpot price, strike, time to expiry, interest rate, dividends and volatility.
- Breakeven moveThe daily move in the underlying at which a delta-hedged option’s gamma profit just covers its time decay: √(2 × |daily theta in $| ÷ position gamma).