Volatility limit

Volatility limit
  A treasury term for the maximum total for all currencies of the sum of the absolute value of call option position delta's and the absolute value of put option position delta's less the delta hedge limit.

International financial encyclopaedia . 2014.

Игры ⚽ Поможем написать курсовую

Look at other dictionaries:

  • Limit Move — The largest amount of change that the price of a commodity futures contract is allowed to undergo. It is not possible to trade a futures contract at a price either above or below the futures contract price after a limit move. The limit price is… …   Investment dictionary

  • price limit — The maximum advance or decline from the previous day s settlement permitted for a contract in one trading session by the rules of the exchange. According to the Chicago Board of Trade rules, an expanded allowable price range set during volatile… …   Financial and business terms

  • Daily Trading Limit — The maximum gain or loss on a derivative contract, such as options and futures contracts, that is allowed in any one trading session. The limits are imposed by the exchanges in order to protect against extreme volatility or manipulation within… …   Investment dictionary

  • Lock Limit — Commonly associated with the futures market, a lock limit occurs when the trading price of a futures contract arrives at the exchanges predetermined limit price. At the lock limit, trades above or below the lock price are not executed. For… …   Investment dictionary

  • Economic Affairs — ▪ 2006 Introduction In 2005 rising U.S. deficits, tight monetary policies, and higher oil prices triggered by hurricane damage in the Gulf of Mexico were moderating influences on the world economy and on U.S. stock markets, but some other… …   Universalium

  • Gasoline — This article is about the fuel and industrial solvent. For other uses, see Gasoline (disambiguation). Petrol redirects here. For other uses, see Petrol (disambiguation). For the bird group, see petrel. A jar containing gasoline …   Wikipedia

  • Markov chain — A simple two state Markov chain. A Markov chain, named for Andrey Markov, is a mathematical system that undergoes transitions from one state to another, between a finite or countable number of possible states. It is a random process characterized …   Wikipedia

  • Leverage (finance) — In finance, leverage (sometimes referred to as gearing in the United Kingdom) is a general term for any technique to multiply gains and losses.[1] Common ways to attain leverage are borrowing money, buying fixed assets and using derivatives.[2]… …   Wikipedia

  • Net capital rule — The uniform net capital rule is a rule created by the U.S. Securities and Exchange Commission ( SEC ) in 1975 to regulate directly the ability of broker dealers to meet their financial obligations to customers and other creditors.[1] Broker… …   Wikipedia

  • Credit default swap — If the reference bond performs without default, the protection buyer pays quarterly payments to the seller until maturity …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”