Delta
The Greeks describe an option's sensitivity to changes in different factors. Here we use ordinary stock options, with other pricing inputs held fixed.
Delta
The size of the price change
How much does the option value change when the underlying moves by one unit?
Calls: the same stock-price move changes the option price more far above the strike, and less far below it. Puts: a rising stock price usually lowers the option price; a falling stock price usually raises it.
View example
For example, with Delta = 0.5 and other factors unchanged:
- The stock rises by 1 yuan
- The option price rises by about 0.5 yuan
These are local estimates. Option-price amounts are per share; multiply by the contract multiplier for one contract.
For the same option and quantity, a short position has the opposite Greek signs to a long position.
Several factors can change together: a call can lose value even as the stock rises if time decay or falling implied volatility outweighs the gain from the stock move.