Delta
The rate of change of an option’s price per $1 move in the underlying, ranging from 0 to 1 for calls and 0 to −1 for puts. Delta doubles as a rough market-implied probability of finishing in the money and as the position’s share-equivalent exposure.
Delta is the first thing a professional checks: a 0.30-delta call behaves like 30 shares, today, for small moves. Summing deltas across a book gives net directional exposure — the number a market maker hedges to zero and a directional trader manages deliberately.
Delta is not constant. It drifts toward 1 or 0 as the stock moves and time passes, and the speed of that drift is gamma.
Related terms
← All terms · Ready to see it in context? Start with thefree curriculum.