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Trading glossary · advanced

delta

A number that shows how much a price ticket's value moves when the price of the thing it is based on moves by one.

The fuller meaning

The expected change in an option's price for a one-unit move in the underlying: near 0.5 for an at-the-money call, closer to 1 for a deep in-the-money call and near 0 far out of the money; puts have negative deltas down to −1. Delta shifts as price, time and volatility change.

delta.

Related words

at the money · backtest · backwardation · basis · call option · contango · data snooping · edge · entry trigger · exercise