Delta Option Greek
Delta explains one key “risk driver” of option premium.
Quick facts
| Field | Value |
|---|---|
| Category | Options Trading Terminology |
| Use | Learn vocabulary to read chains and manage risk |
Definition
Delta estimates how much an option price changes for a small change in the underlying price. It also acts like a rough “direction exposure” measure.
Where it matters most
- Near expiry (gamma/theta effects are stronger)
- During volatility changes (vega)
- When managing multi-leg spreads (net Greeks)
Call delta by moneyness (typical; ×100)
ITM calls have higher delta; OTM calls need a bigger move to gain.
Quick example
Info
Greeks change over time; always check the net exposure of your position.
Summary
- Delta is a sensitivity, not a prediction.
- Use it to understand why P&L moves.