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Quantitative Finance · Glossário

O que é Delta-equivalent inventory?

Definition 11.2 Market Making and High-Frequency Trading · Capítulo 11 — Hedging and Inventory in Practice

The delta-equivalent inventory of a book is its exposure expressed in one reference instrument: each position’s value times its sensitivity to the reference, summed across instruments. Against an index, a book of stocks qiq_i has

D=∑iqi Si βiD=\sum_i q_i\,S_i\,\beta_i

dollars of index exposure; an ETF counts with its own beta, an option with its delta times its underlying’s beta.

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