Options
Delta — Definition & Example
The rate of change in option premium per unit change in the underlying — how option-like vs stock-like the position is.
Delta is the first Greek: it measures the sensitivity of option price to underlying price. Calls have delta from 0 to +1; puts from -1 to 0. ATM options have delta near ±0.5; deep ITM options approach ±1; deep OTM approach 0. Delta also approximates the probability the option finishes ITM at expiry. Used for sizing, hedging, and directional exposure measurement.
Example
NIFTY 24500 CE with delta 0.5 means a ₹100-point NIFTY move adds approximately ₹50 to the option premium. A delta-1.0 deep-ITM call moves rupee-for-rupee with the underlying.
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