Delta Equivalent Basis definition
Delta Equivalent Basis means the method of calculating the quantity of cash (or futures) position in Product that will theoretically hedge an option position against an adverse change in the price of any underlying Product by multiplying the Delta of the option by the relevant contract size or nominal amount.
Examples of Delta Equivalent Basis in a sentence
The Borrower shall hold at any time on an aggregate basis: (a) as a Net Outright Position, no more than 100,000 Barrels of Product, and (b) as a Net Basis Position, no more than 2,200,000 Barrels of Product (provided that in each case all such positions shall include options on a Delta Equivalent Basis).