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Enron Mail |
Per our discussion - let me know if we need to look into this more to clarify.
Options: Whether the option is in/out of the money - the delta will be calculated as an effective position per each $1 price change. For example what we were looking at for October: The Current Strike in deal entry is $30 - since the mid price is lower than that - when we take the scalars into effect and calculate an hourly price it is rarely in the money for CSU to exercise this option. Therefore your delta is so low. Forwards: Your delta position should be the same as your notional position. I will let you know about the CSU strike in deal entry. Heather
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