Loading
The change in option price per $1 change in the underlying asset's price.
The change in option price per $1 change in the underlying asset's price.
Delta is the first derivative of option value with respect to underlying asset price. Call option deltas range from 0 to +1.0; put deltas range from 0 to -1.0.
Approximates the probability of an option expiring in-the-money.
Used in Delta Hedging to create price-neutral option books.