Delta of a put option formula
Description of the Delta of a put option formula
Formula for the calculation of a put 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
\[ \delta = N(d1) - 1 \] \[ {\small where: d1 = \frac{ln \left( \frac{S}{K} \right ) + \left(r+\frac{\sigma^{2}}{2}\right)t}{\sigma\sqrt{t}} } \ \]
Symbols
\(K\ \)
Option strike price
\(N\ \)
Standard normal cumulative distribution function
\(r\ \)
\(σ\ \)
Volatility of the underlying
\(S\ \)
Price of the underlying
\(t\ \)
Time to option's expiry
Additional information related to this formula
Related definitions from the glossary of financial terms
Related calculators
Option strategy calculator • Pricing of an option (Black & Scholes)