Does a forward contract on a stock index have the same delta as the corresponding futures contract?...

Question

Does a forward contract on a stock index have the same delta as the corresponding futures contract? Explain your answer.

Robert · Accepted Answer

SOLUTION: 
With our usual notation the value of a forward contract on the asset is 0
qT rTS e Ke  . When 
there is a small change, S , in 0S  the value of the forward contract changes by 
qTe S  . The 
delta of the forward contract is therefore qTe .

Does a forward contract on a stock index have the same delta as the corresponding futures contract? Explain your answer.

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