What does "Delta One" mean?

Delta One is an advanced financial derivative packaged by a series of derivatives, which closely tracks the trend of underlying assets and allows holders to easily establish positions in various asset categories, including equity swap, forward, futures, ETF and forward interest rate agreement. But it is a linear derivative of income symmetry, so we can't use options and products with options to design Delta One.

For financial derivatives, Delta (Δ Δ) is used to measure the sensitivity of derivatives to price changes of underlying assets.

Delta (δ) = the variation range of derivative product price/the variation range of underlying assets.

As can be seen from the above formula, when Δ =1,the fluctuation range of derivative prices will be equal to that of the underlying assets.

The reason why the product is named Delta One is to emphasize that the variation range of derivative prices is almost exactly the same as that of the underlying assets.

The financial derivatives that make up Delta are often highly leveraged, which determines that the combined Delta One is also highly leveraged. In addition, it is highly related to the underlying assets. When you want to long/short an asset, but there is no convenient way or insufficient funds, Delta One is undoubtedly a very good choice.

Delta One was originally designed to hedge some systemic risks. At first, investment banks hoped to make profits from the tiny price difference between derivatives and basic assets, but with the maturity of the market, the price difference became smaller and smaller, and investment banks began to gamble with customers and even other investment banks.

Kerviel of Societe Generale and Adoboli of UBS may have lost their bets with other banks.