Futures equivalent

Definition

A term frequently used with reference to speculative position limits for options on futures contracts.

The futures-equivalent of an option position is the number of options multiplied by the previous day's risk factor or delta for the option series.

For example, ten deep out-of-money options with a delta of

0 >> 20 would be considered two futures-equivalent contracts.

The delta or risk factor used for this purpose is the same as that used in delta-based margining and risk analysis systems.

Related Terms

Other terms related to 'Futures equivalent' starting with the letter 'F'

Fannie Mae, Fill or Kill Order FOK, FAN Five Against Note Spread, Fundamental Analysis, Futures Industry Association FIA

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