Daily Closing

The last officially-determined price (i.e. the last fixing) for a security during a day's trading on an exchange. The daily closing of an Underlying is often used to calculate the amount paid under a Cash Settlement.


Delta is the amount by which the value of an Option or Warrant changes when the price of the Underlying changes by one unit, all other factors remaining constant. For Calls, the Delta lies between 0 and 1; for Puts between 0 and -1. The minus sign results from the fact that the value of a Put falls when the price of the Underlying rises. Expressed as a percentage (between 0% and 100%), delta reflects the probability that an Option or Warrant will possess an Intrinsic Value at the Expiration Date.

Delta Hedging

For Option holders, a delta-hedge is a change in a position in the Underlying so that the overall Delta is zero. The Option Delta changes with market conditions and time to expiry, and so the hedge needs to be adjusted continuously. In this way a position in an Option has less exposure to directional movements in the Underlying, leaving greater exposure to changes in Implied Volatility and Realized Volatility.

Digital Option

Also known as a Binary Option, this Option pays a fixed amount if a specified condition is met, otherwise the Option pays nothing.


A return based on the spread between the performance of various Underlyings within a basket.


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