ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
On this page
What this one covers
- Delta is the change in an option's price for a $1 move in the stock
- Calls run from zero to one and puts from zero to minus one
- A call $10 in the money sits near 0.75 and one $10 out of the money near 0.38; the at the money Nvidia call is 0.57
- If Nvidia rises $5 the 0.57 delta call gains about $2.88, roughly $288 a contract, and loses the same on a $5 drop
- Delta itself shifts as the stock moves
The same thing, in writing
What delta is
Delta is how much an option moves when the stock moves. For an at the money call on Nvidia, it is just over a half. Delta is the change in an option's price for a $1 move in the stock. Calls run from zero to one and puts from zero to minus one.
The strike changes it
A call $10 in the money sits near 0.75. A call $10 out of the money sits near 0.38. The at the money call in this example has a delta of 0.57.
What that means in dollars
If Nvidia rises $5, the 0.57 delta call gains about $2.88, which is roughly $288 a contract. On the Terminal, every strike in the chain carries its delta, so the number is there before the move happens.
It cuts both ways
The same call loses about $2.88 on a $5 drop. Delta itself shifts as the stock moves, so the delta you read today is not the delta you hold after the move.
Topics
- delta
- options greeks
- nvidia
- vol school
- options basics
ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
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Watch it once.
Then run it yourself.
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