The delta of an option measures it sensitivity to the price of the option’s underlying. In equations it is symbolized by the capital Greek letter delta, ∆. Mathematically, for an option currently worth V, on an underlying currently trading at S, the delta of the option is ∆ = ∂V/∂S. The delta of an option ranges can range from −1 to +1, is positive for calls and negative for puts. For small changes in the price of the underlying, changes to the price of the option can be approximated as delta multiplied by the change in the underlying price, dV ≈ ∆dS.


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