Greeks
Delta
Option price sensitivity to stock price
What is Delta?
Delta Measures how much an option's price changes for a $1 move in the underlying. Ranges from 0 to 1 for calls, -1 to 0 for puts. Also approximates probability of expiring ITM.
Complete Definition
Measures how much an option's price changes for a $1 move in the underlying. Ranges from 0 to 1 for calls, -1 to 0 for puts. Also approximates probability of expiring ITM.
Example
A call with 0.50 delta gains ~$0.50 when the stock rises $1. It has roughly a 50% chance of expiring in-the-money.
Formula
Delta = Change in Option Price / Change in Stock Price
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