Definition
Delta is an options Greek that measures the rate of change in option price relative to a $1 change in the underlying asset. Call deltas range from 0 to 1, put deltas from -1 to 0. Delta also approximates the probability of an option expiring in-the-money.
Formula
Delta = Change in Option Price / Change in Stock Price
Example
A call with 0.60 delta will increase by $0.60 if the stock rises $1. It also has roughly a 60% chance of expiring ITM.
FAQ
What is Delta (Options Greek)?
Measures how much an option price changes for a $1 move in the underlying.
How do you calculate Delta (Options Greek)?
A common formula for Delta (Options Greek) is: Delta = Change in Option Price / Change in Stock Price
Why is Delta (Options Greek) important?
Delta (Options Greek) helps investors evaluate options and make more informed decisions.