Delta

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Delta tells you how much an option's price is expected to move when the underlying stock moves one dollar. A call with a delta of 0.40 should gain roughly 40 cents if the stock climbs a dollar, and lose about the same if it falls. Calls have positive delta (0 to 1) and puts have negative delta (0 to -1), so delta also hints at direction, not just size.

Traders lean on delta as a rough gauge of two things at once. First, it approximates how stock-like your position behaves: a 0.70 delta call moves almost like 70 shares. Second, it works as a quick read on the odds the option finishes in the money. A 0.30 delta put is loosely a 30 percent chance of expiring with value, which is why many people sell options around the 0.15 to 0.30 delta zone.

The common mistake is treating delta as fixed. It shifts constantly as the stock moves, as time passes, and as volatility changes, an effect measured by gamma. A deep in the money option drifts toward a delta of 1 and behaves like the stock, while a far out of the money option decays toward 0 and stops responding much at all.

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