Delta one products are financial derivatives that have no optionality and as such have a delta of (or very close to) one – meaning that for a given instantaneous move in the price of the underlying asset there is expected to be an identical move in the price of the derivative. Delta one products can sometimes be synthetically assembled by combining options. For instance, you can be long a forward on WTI crude oil at price X by buying an X strike call and selling an X strike put.[1] This is known as put call parity. Delta one products often incorporate a number of underlying securities and thus give the holder an easy way to gain exposure to a basket of securities in a single product.
- ^ "What is Delta One? definition and meaning". Investorwords.com. Retrieved 2011-09-15.