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Read the two original call outputs
The example gives model call value 14.285714 per claim and replicating underlying quantity 0.6 units. The first is a current currency amount under the selected unit basis; the second is a holding quantity.
Include the cash component
The stock holding alone costs 60, not 14.285714. Current cash −45.714286 completes the replica. Equating Δ×S0 with the option price would omit that funding component.
| Output | Value | Interpretation |
|---|---|---|
| Δ | 0.6 | Underlying units per claim |
| ΔS0 | 60 | Current stock-component cost |
| B | −45.714286 | Current cash component |
| Claim value | 14.285714 | Total current model cost |
Interpret a negative quantity
The put has Δ=−0.4 but positive model value 9.523810 because a positive cash component completes its replica. Negative holding does not imply a negative option price.
Keep practical trade sizes separate
Actual contract multipliers or indivisible holdings can require scaling and constraints. This model computes per-unit fractional holdings; it does not specify a trade order or claim continuous-time hedge performance.