Delta of a call option formula

Tags: options risk management valuation and pricing

Description of the Delta of a call option formula

Formula for the calculation of a call option's delta. The delta of an option measures the amplitude of the change of its price in function of the change of the price of its underlying.

Formula

δ = N (d 1)

w h e r e : d 1 = \frac{l n (\frac{S}{K}) + (r + \frac{σ^{2}}{2}) t}{σ \sqrt{t}}

Symbols

K

Option

N

Standard normal cumulative distribution function

r

σ

of the

S

Price of the

t

Time to option's expiry

Additional information related to this formula

Related definitions from the glossary of financial terms

Call option • Delta • Option • Risk-free interest rate

Related calculators

Option strategy calculator • Pricing of an option (Black & Scholes)