Delta

(1) Delta is often represented by the Greek letter δ. It is one of the five main measurements of the sensitivity of the price of an option, collectively known as the Greeks. (2) Delta is always between 0 and 1 and is positive for call options and negative for put options. In the case of at-the-money or close-to-the-money options, delta approximates 0.5 since the option is just as likely to be exercised as not; the premium varies by approximately $0.50 for each dollar by which the underlying price changes. In the case of a deep-in-the-money option, delta approximates 1 since the option is very likely to be exercised; any change in the price of the underlying immediately impacts the amount of the premium. In the case of a deep-out-of-the-money option, delta approximates 0 since the option is very unlikely to be exercised; any change in the price of the underlying has little effect on the amount of the premium.