Delta
How much an option’s price moves for a $1 move in the underlying.
Also called: option delta
In plain language
Delta ranges from 0 to 1 for calls and 0 to −1 for puts. A 0.60 delta call gains roughly $0.60 per $1 rise in the underlying.
It is also a rough approximation of the probability the option finishes in the money, which makes it useful for strike selection.
Delta is not fixed. It rises as an option moves into the money and falls as it moves out — that rate of change is gamma.
Why it matters
Delta converts option positions into equivalent share exposure, which is what lets you size an options trade against the same risk framework you use everywhere else.
Common mistakes
- Treating delta as constant while the underlying moves.
- Reading delta as an exact probability rather than an approximation.
Keep exploring
These concepts are connected. Understanding one usually makes the next one easier.
The rate at which delta changes as the underlying moves.
How much value an option loses per day purely from the passage of time.
How much an option’s price changes for a one-point move in implied volatility.
The price at which an option contract can be exercised.
An option that currently has intrinsic value.