以下是引用glenn001在2006-6-1 3:03:00的发言： What is the economic exposure of a option? For example I have 2 call option on IBM stock, contract size is 10 stocks. Current call price=100 spot = 250 Delta of option is 0.25 what is my economic exposure? I suppose it is 2*10* 250*0.25 is it right?
Another question what if the underlying product of above example is a stock index?
S&P 500 for example. Contract size 10$ every index point, Delta 0.3 spot 900 current call price 95.
I'm not sure what "economic exposure" means, but I guess your calculation is correct. If your delta is 0.25, roughly speaking, long a call is equivalent to long 0.25 share. So 2 options, each 10 stocks, it is equivalent to 2*10*0.25 shares. With stock price 250, there you go.
Similar for the option on index. With delta 0.3, long 1 call is equivalent to long 0.3 index. Spot is 900, so it's 0.3*900. I'm not sure what's your one index point. 1 or 0.01? Say it's 0.01 and is worth $10. So I guess the "economic exposure" is 0.3*900*100*10. If it's 1, you get 0.3*900*10.
By the way, option on S&P 500 is 100 times the index. So a change of S&500 index by 0.01 is corresponding to a $1 change in option payoff.
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