Comment on The Option Greeks (Delta) Part 1

Karthik Rangappa commented on 29 Dec 2015, 06:14 AM

Delta of the option is dependent of the moneyness of the option – the thumb rule is

Option is ATM , Delta is ~ 0.5
Option is ITM , Delta is ~ between 0.5 to 1
Option is OTM , Delta is ~ between 0.1 to 0.5

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