Delta v. Moneyness
Delta is the first derivative of the option price with respect to the underlying. As we just addressed, moneyness is perhaps the most directly impactful variable which affects delta.
This is a graph illustrating the the change in the delta of both call and put options as each option moves from being out-of-the-money to at-the-money and finally in-the-money.
Notice that the change in value of the delta isn't linear, except when the option is deep in-the-money. When the option is deep ITM the delta will be 1 and at that point will move in-line with the underlying instrument. ATM calls and puts will be 50 delta.
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DT Primers Delta Delta represents how much an option’s theoretical value will change based on a one-point change in the underlying asset (a $1 increase in the stock price, for example). For example, a delta of 0.50 means that for every $1 increase in the underlying…
