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Delta refers to the relationship between the option's price and the Underlying. For calls, delta is positive, for puts, delta is negative. Delta is expressed as a decimal point value between 0 and +/-1 (+1 for calls, -1 for puts). The more in the money the option is, the closer to its absolute value of 1 (for calls) or -1 (for puts). The price of the option will change by the delta value based on a one point movement in the underlying instrument the option is based on. For example, if the delta of a call is 0.15 then if the Underlying price increases by 1 points then the call option will increase in value by .15 points.

Delta is often used as an approximate measure of the probability of an option being In The Money at expiry. Options expire with the delta at 1 or -1 for calls and puts, respectively or 0. As well as the price of the Underlying, the value of delta is affected by the other Greeks. The higher the value of Theta (which measures the duration to expiry) the more delta will tend to reduce. Gamma measures the sensitivity of delta to changes in the Underlying and Options with the same delta but a higher Gamma are more likely to fluctuate in price.
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Contributed by: Ralph Windsor

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The Greeks: What They Are and How to Use Them

ThinkOrSwim guide to the Greeks.

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