A - B - C - D - E - F - G - H - I - J - K - L - M - N - O - P - Q - R - S - T - U - V - W - X - Y - Z

What is a Delta One product?

“Delta One” products take their name from Delta (Δ), which is a term used in the trading of derivatives (and options in particular) that measures their sensitivity to changes in the underlying asset. The Delta of an instrument is therefore defined mathematically as the first-order derivative of its value relative to the price of the underlying asset

A Delta One product is simply a product that has a delta of one. It is therefore a derivative with a linear and symmetrical payoff profile, since its delta remains around 1 regardless of changes in the underlying asset. It is therefore a product with no optionality, since options have deltas that increase with a rise of the underlying asset. Examples of “delta one” products are exchange-traded funds (ETFs), equity swaps, futures and forwards. Because the price of these products closely tracks that of their underlying assets and the risk-free rate, their delta will be close to one.

Delta One trading desks

Delta One trading desks are part of the equity derivatives departments of large investment banks. Although these products do not have optionality, they can be built from options using the parity between calls and puts. These desks generate most of their revenues from the arbitrage set-up of strategies linked to the various Delta One products as well as from related activities, such as dividend arbitrage between different products or stock index arbitrage processed on different trading platforms.

Discover

Our Delta One Capabilities

Our latest news and insights

Energy Risk Awards 2025
Societe Generale awarded "Commodity & Energy Finance House of the Year "by Energy Risk Magazine
Awards & Rankings
Societe Generale awarded "Commodity & Energy Finance House of the Year "by Energy Risk Magazine
Energy Risk Awards 2025
Verification of Payee: A new era in instant payment security
Verification of Payee: what will be the impact of this new security system on the processing of your payments?
Expert views
Verification of Payee: what will be the impact of this new security system on the processing of your payments?
Verification of Payee: A new era in instant payment security
Open Finance: Experimenting While Preserving Value Creation
Open Finance represents a new experimental ground, allowing clients to share their financial information with third...
Expert views
Open Finance represents a new experimental ground, allowing clients to share their financial information with third parties in order to benefit from personalised services. Emmanuelle Choukroun, Deputy Head of Interbank Relationships, explores the stakes, opportunities and challenges associated with this transformation, as well as the impact of regulations on...
Open Finance: Experimenting While Preserving Value Creation
More results google link