Delta: Difference between revisions
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1. ''Maths.'' | 1. | ||
''Maths.'' | |||
Delta is the slope of the curve of option value plotted against underlying asset price. | Delta is the slope of the curve of option value plotted against underlying asset price. | ||
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It ranges between 0 and +/-1, depending on whether the option is a call or a put, and whether we have a long (bought) or short (sold) position in the option. | It ranges between 0 and +/-1, depending on whether the option is a call or a put, and whether we have a long (bought) or short (sold) position in the option. | ||
2. More generally, any change in a variable, especially a financial variable. | |||
2. | |||
More generally, any change in a variable, especially a financial variable. | |||
== See also == | == See also == | ||
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* [[Greeks]] | * [[Greeks]] | ||
* [[Option]] | * [[Option]] | ||
Revision as of 11:33, 11 May 2016
1.
Maths.
Delta is the slope of the curve of option value plotted against underlying asset price.
Mathematically, it is the first derivative of option value with respect to the underlying asset price.
It ranges between 0 and +/-1, depending on whether the option is a call or a put, and whether we have a long (bought) or short (sold) position in the option.
2.
More generally, any change in a variable, especially a financial variable.
