Delta Financial Glossary

What is it? (1) The Greek letter used by mathematicians to refer to change or the quantity of change. (2) The price sensitivity of an option. The change in an options price divided by the change in the price of the underlying instrument. As an option becomes deeper in the money, its delta gets closer to 1.0. As an option get further out of the money, its delta gets closer to zero. However, the change is nonlinear - the delta changes faster when the option is close to being in the money. The rate of change in an options delta is called the options gamma.

Finance Term Definition Added By: Gabriella

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