Delta
The rate at which an option's price changes for a one-unit change in the underlying.
Formula
Delta = Change in Option Price / Change in Underlying Price; ranges 0 to 1 for calls and 0 to -1 for puts
Unit
ratio (x, times)
In depth
Delta is the first and most used of the Greeks, and it serves three purposes at once: it estimates the option's price sensitivity, it approximates the probability of finishing in the money, and it states the equivalent position in the underlying for hedging. Deep in-the-money options have deltas approaching 1 and behave almost like the underlying itself, while far out-of-the-money options have deltas near zero and barely respond. Delta is not constant — it changes as the underlying moves, which is what gamma measures, so a delta-based estimate is only accurate for small moves. It is the working number in nearly every practical options calculation.
Worked example
A call with a delta of 0.55 on a lot of 75 gains roughly 0.55 x 100 = 55 points if the index rises 100, worth 55 x 75 = ₹4,125. It also behaves like being long 0.55 x 75 = about 41 units of the index.
Illustrative figures, chosen so the arithmetic is easy to follow. Not a live price and not a valuation of any company.
Educational reference only
This entry explains what “Delta” means. It is not investment advice and not a recommendation to buy or sell any security. Any numbers above are illustrative, not live prices, and nothing here predicts price direction or rates a stock. Consider your own circumstances and consult a SEBI-registered investment adviser before acting.