Greeks: Delta

Overview

Delta measures how much an option’s price moves for a one rupee move in the underlying. It also roughly approximates the probability the option finishes in the money. Calls have positive delta, puts have negative delta.

Key takeaways

• Delta runs from 0 to 1 for calls and 0 to minus 1 for puts.
• A delta of 0.5 means the option moves about 50 paise for every 1 rupee move in the stock.
• Delta loosely reflects the chance of expiring in the money.
• At-the-money options have a delta near 0.5, deep in-the-money nears 1.

For education only. Not investment advice.