Change in delta

[derswap07]

Q: When the price of underlying bond increases by 1%, due to a yield curve shift, call hedge should be decreased or incresed?

 

[Glue85]

the original hedge is sell a call ( you want the price of the bond to decrease which is opposite to the underlying) so you must sell more or increase hedge

 

[sachin_patel]

increased.

 

[June06]

Hedge ratio declines. So must increase hedge.