Delta - Financial definition
Concise definition of the term delta
The delta of an option measures the change in the option premium for a given change in price of the underlying asset or security.
Comprehensive definition of the term delta
Delta is the first derivate of the option price with respect to the price of the underlying asset.
The delta of a call (put) is always positive (negative), and can take values comprised between 0 et +1 (-1).
An in-the-money call (put) will have a delta close to 1 (-1),
,an at-the-money call (put) will have a delta close to 0.5 (-0.5), and
an out-of-the money option (call or put) will have a delta close to 0.
The delta of a call (put) is always positive (negative), and can take values comprised between 0 et +1 (-1).
An in-the-money call (put) will have a delta close to 1 (-1),
,an at-the-money call (put) will have a delta close to 0.5 (-0.5), and
an out-of-the money option (call or put) will have a delta close to 0.
For a call and a put with the same characteristics:
delta(Call) = 1 - delta (Put)