Performing a Delta Weighted Transaction
Are you looking to obtain some upside exposure to a particular underlyer, but you prefer to minimize premium expense and aggregate cash outlay by purchasing “out of the money” Calls on the bid side of the marketplace?

Do you also want to automatically adjust the number of purchased contracts based on the changing Delta?

The ModelRoute Solution
To establish the properly weighted position, ModelRoute offers an Order Type, Contract Only/Contract Variable, and allows you to purchase a specific number of contracts. You can also enter the Expiry Date and the Strike Price for the Call option, and its Implied Volatility.

ModelRoute then automatically generates the Fair Market Value for the Call – the option’s Dynamic Limit Price (DLP) – the Delta and other related “Greeks.” As the market price for the underlyer fluctuates, ModelRoute automatically re-models the Call’s DLP and adjusts the number of contracts that need to be purchased in order to preserve the desired exposure. ModelRoute also preserves, within a range, the targeted cash outlay for the purchased Call position.