For:
Most instruments the delta displays the change in an instrument's price (or present value) for a small change in the underlying. If it is the delta forward, it displays the sensitivity of the instrument’s price to a small parallel shift of the entire forward curve of the underlying asset; if it is the delta spot, it displays the sensitivity of the instrument’s price to a small shift of the underlying asset's spot price.
By default in the pricing pages, for all assets the system calculates the delta forward; for some assets (such as OTC precious metals and base metals) the system also calculates the delta spot, in accordance with market convention.
However, in order to see these two calculated results in the Results area (if they are relevant to the instruments and asset class selected), you must first ensure that these Greeks are enabled for your user via the Customize window > Default Settings tab > Greeks dropdown list. This customization setting also controls if the delta forward and the delta spot are displayed in the Risk Charts tool and the Risk Matrix page.
For a gas formula swap and gas formula swap strip the delta measures the change in the instrument's present value with respect to a small change in the underlying price of commodity X. Knowing the delta per commodity is important because this value is generally used to calculate the amount of underlying X that must be bought or sold to hedge the risk of moves in the price of underlying X.
This result is generally used to calculate the amount of the underlying to be bought or sold to hedge the risk of moves in the underlying. For a buy, it is always displayed as a positive number for a call and as a negative number for a put; For a sell, it is always displayed as a negative number for a call and as a positive number for a put.
The market delta (which is displayed for all options, not only vanillas and vanilla strategies, and for a gas formula swap and a gas formula swap strip) is calculated using the SD model. With the SD model:
For most instruments the delta is calculated by making incremental moves in the future price while maintaining the rest of the term structure constant.
For a gas formula swap or gas formula swap strip the delta is calculated for each commodity individually by making incremental moves in its future price while maintaining the rest of the term structure constant.
This calculation method affects the value of the instrument, and therefore the required hedge. Accordingly to hedge these instruments, you would buy or sell this amount in the futures market, i.e., the delivery date will be equal to the delivery date of the option itself.
For most instruments, SDX Commodities & Energy displays the delta as a total (or unweighted) amount. However, for the following instruments SDX Commodities & Energy displays the weighted delta:
Vanilla strip
Vanilla strip strategies
Asian strategies
Asian strip
Asian strip strategies
Gas formula swap strip
The weighted delta is calculated as follows:
<Total delta as an amount> / <Total notional>
For some instruments, including the gas formula swap, SDX Commodities & Energy also displays the delta in the relevant time buckets. It does this in the Buckets window.