Delta-one

Perfectly hedged; a delta of one. Refers to a hedging strategy where a counterparty providing derivative exposure to an underlier by buying that underlier. You only need to delta-hedge your net exposure to the underlier - if, for example, you have written a long and a short TRS on the same underlier in the same size, you are delta-one hedged without buying anything - the two positions net each other off, and therefore hedge each other, exactly.

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(But why on Earth would you go long and short the same underlier at the same time (unless, of course, you were providing synthetic prime brokerage to a range of hedge fund clients)?

See also

• Greeks
• Hedging
• Delta
• Calculation agent dispute.