Delta
Also called: option delta
Roughly how much an option's price changes for a ₹1 change in the underlying. Calls have delta from 0 to 1, puts from −1 to 0.
At-the-money options have a delta near 0.5 in size. Delta times the number of shares in a position gives a share-equivalent exposure. Delta is often read as a rough chance of ending in the money, but it is an approximation that changes as the price moves.
Example
A call with delta 0.5 on a lot of 500 behaves like 250 shares for small moves.
Learn more in these lessons
- Options Greeks: delta and gammaHow much does an option's price change when the share price moves?
Related terms
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