Delta

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.

See also

• Delta hedging
• Delta neutral
• Gamma
• Greeks
• Option