11.28What is delta?
1What is it?
Delta shows how much an option’s premium changes for a ₹1 (or 1-point) change in the underlying. Calls: 0 to 1. Puts: 0 to −1.
2Why does it exist?
It tells you how "stock-like" your option is and roughly the probability of expiring ITM.
3Calculation
- ATM call delta ≈ 0.5. Nifty +100 → premium ≈ +50.
- Deep ITM call delta ≈ 0.9 → moves almost like a future.
Delta = sensitivity to price.
4Quick revision
- Sensitivity to price.
- ATM ≈ ±0.5.
- Rough ITM probability.
5Knowledge check
Q1. Call delta 0.4, Nifty +50. Premium change?Show answer
≈ +20.
Q2. Put delta sign?Show answer
Negative.
Q3. Delta of a deep ITM call?Show answer
Close to 1.