Verbull Word of the day
Finance glossary

Delta

Options & Derivatives · advanced
Definition

How much an option price moves for a 1 dollar change in the underlying.

Delta measures an option sensitivity to the underlying asset price, ranging from 0 to 1 for calls and 0 to -1 for puts. A delta of 0.5 means the option gains about 50 cents per 1 dollar move. Delta also approximates the probability an option expires in the money.

In a sentence

The call's delta of 0.5 meant it gained about 50 cents for every dollar the stock rose.

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