Engagement or exposure is the sum of all investments in a security (e.g. a share) or an asset class (e.g. Swiss equities) plus the sum of the liabilities in this security or asset class that one has entered into with derivatives. The decisive factor here is that the engagement in derivatives not only corresponds to the price paid for the derivative (e.g. option premium), but that an additional engagement in the underlying asset is entered into. The buyer of a forward contract or call option and the seller of a put option increase their exposure to the underlying asset. The seller of a forward contract or a call option as well as the buyer of a put option reduce their exposure to the underlying asset. In the case of symmetrical derivative transactions such as forward purchases and sales, the change in engagement at any time corresponds to the so-called exercise volume. This results from the multiplication of the agreed quantity (number of securities bought or sold forward) and the agreed forward price (price fixed at the time of conclusion at which buying or selling takes place at maturity).

For asymmetric forward transactions (options), the calculation of the engagement is more complex. The relationship between the price for the underlying asset and that for the derivative is not linear. This relationship is measured with the so-called delta. The delta of a call option is always between 0 and +1, that of a put option between ‑1 and 0. With a delta of 0, the option is “out of the money”, i.e. the probability that the option will be exercised by the buyer is practically zero. Consequently, the exposure for the seller of the option at this point is also zero. If the option is “in the money”, the delta is 1 (call option) or ‑1 (put option) and exercise by the buyer of the option is highly probable.