Futures-equivalent

What is Futures-equivalent?

Futures-equivalent meaning A term frequently used with reference to speculative position limits for options onfutures 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.

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary

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