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Delta Option Greek

Delta measures by how much the price of an Option change with change in the price of its underlying.

 

Delta is an options greek which measures the sensitivity of the price of an Option with a change in the price of underlying. It helps a trader calculate by how much the price of an Option will increase or decrease with a unit change in the price of the underlying.  Delta is calculated as-

Delta = Change in the price of the option/ Unit change in the price of the underlying

 Suppose the price of an Option moved up from Rs 30 to Rs 40. The value of the underlying increased by Rs 10 then the Delta will be- Rs 10/Rs 10= 1

 Delta for Call options is positive between o and 1 while for Put options, it is negative between -1 and 0.

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