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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 ?
Deltic's corporate offices in El Dorado will be the company's southern operational headquarters, and the new board will have eight directors from Potlatch and four from Deltic.
Deltic still has to put forward a firm offer or walk away by 5pm on October 10 under City takeover rules.
Background: In addition to heading Deltic, based in El Dorado.
Nevertheless, Deltic said that it has been granted access to Revolution's accounts, which may lead to it tabling another proposal.
Upon completion of the transaction, Deltic will hold 100% of the membership interest in the Arkansas limited liability company, which owns and operates a medium density fiberboard plant in El Dorado, Arkansas.
Auctioneer John Anderson said: "The Deltic diesels have a cult following.
At its meeting held following the stockholders' meeting, the Board of Directors of Deltic Timber Corporation (NYSE: DEL) acted to declare a quarterly dividend of $0.
As of March 1, he owned 93,604 shares of Deltic Timber stock worth about $6 million.
Deltic was able to increase the harvest volume of both pine sawtimber and pulpwood because of the favorable logging conditions during the current-year period.
28, gave immediate ownership of the Deltic land to Smith's Little Rock Municipal Property Owners' Multipurpose Improvement District No.
Online replays of the call will be available through the Deltic website, and a recording of the call will be available until Tuesday, May 1, by dialing 1-888-286-8010 and referencing replay passcode identification number 39241642.
The city attorney's position is the stretch of Gordon Road in question was converted to a private drive as part of Deltic developing the southern loop of Chenal Valley Drive.