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The ratio of the change in price of an option to the change in price of the underlying asset. Also called the hedge ratio. Applies to derivative products. For a call option on a stock, a delta of 0.50 means that for every $1.00 that the stock goes up, the option price rises by $0.50. As options near expiration, in-the-money call option contracts approach a delta of 1.0, while in-the-money put options approach a delta of -1. See: hedge ratio, neutral hedge. Call deltas range from 0.00 to +1.00; put deltas range from 0.00 to -1.00. If the call delta is 0.69, the put delta is -0.31 (call delta minus 1 equals put delta; 0.69 -1 =-0.31).


The change in the price of an option that results from a one-point change in the price of the underlying stock. For example, a delta of 0.5 indicates that the option will rise in price by 1/2 point (50¢) for each 1-point ($1) rise in the price of the underlying stock. Call options have positive deltas; put options have negative deltas.


The relationship between an option's price and the price of the underlying stock or futures contract is called its delta.

If the delta is 1, for example, the relationship of the prices is 1 to 1. That means there's a $1 change in the option price for every $1 change in the price of the underlying instrument.

With a call option, an increase in the price of an underlying instrument typically results in an increase in the price of the option. An increase in a put option's price is usually triggered by a decrease in the price of the underlying instrument, since investors buy put options expecting its price to fall.

References in periodicals archive ?
After passage of a now-controversial 2001 ordinance, Deltic Timber completed the Chenal Valley Drive loop and rerouted a portion of Gordon Road between Denny Road and Chenal Valley Drive.
We also understand that Deltic wants Smith to file a revised development plan with the city before it negotiates.
Stories of Deltic officials bragging about how cheaply they acquired Dunn's stake in the land filtered back to Charleboix and her mother, adding to the hard feelings.
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Based on the information we have gathered and our resulting research, we feel that Deltic Timber Corporation has the probability to underperform average market performance for the next year," according to a Dec.
The continued depressed environment in the lumber and residential real estate markets, which has been exacerbated by tightened credit markets, have exerted downward pressure on the financial performance of forest products companies, including Deltic," President and CEO Ray C.
What does Ray Dillon, CEO of Deltic Timber, see coming in the fourth quarter?
But more than three years have passed since Deltic issued a press release proclaiming a successful offering of residential lots.
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Dillon, of Deltic Timber Corporation (NYSE:DEL) announced today preliminary net income for the first quarter of 2010 was $2.
The strange twist in the lawsuit is that Deltic was able to file its civil lawsuit under seal.