Enter the absolute value of the delta and the number of option contracts into the Calculator. The calculator will evaluate the Delta Hedge Quantity. 

Delta Hedge Quantity Formula

DH = AVD * O * 100

Variables:

  • DH is the Delta Hedge Quantity ()
  • AVD is the absolute value of the delta
  • O is the number of option contracts

To calculate Delta Hedge Quantity, multiply the absolute value of the delta by the number of option contracts, then multiply by 100.

How to Calculate Delta Hedge Quantity?

The following steps outline how to calculate the Delta Hedge Quantity.

  1. First, determine the absolute value of the delta. 
  2. Next, determine the number of option contracts. 
  3. Next, gather the formula from above = DH = AVD * #O * 100.
  4. Finally, calculate the Delta Hedge Quantity.
  5. After inserting the variables and calculating the result, check your answer with the calculator above.

Example Problem : 

Use the following variables as an example problem to test your knowledge.

absolute value of the delta = 4.25

number of option contracts = 300