We recommend reading this chapter on Varsity to learn more and understand the concepts in-depth.
Key takeaways from this chapter
- Option Greeks are forces that influence the premium of an option
- Delta is an Option Greek that captures the effect of the direction of the market
- Call option delta varies between 0 and 1; some traders prefer to use 0 to 100.
- Put option delta varies between -1 and 0 (-100 to 0)
- The negative delta value for a Put Option indicates that the option premium and underlying value move in the opposite direction
- ATM options have a delta of 0.5
- ITM option has a delta of close to 1
- OTM options have a delta of close to 0.