Definition · updated 2026-10-22
Delta
Delta is how much an option's price changes for a $1 move in the underlying: a 0.40 call gains about $0.40 per share when the stock rises $1. It also approximates the probability the option finishes in the money, and it is the number dealers hedge, so aggregate delta is what moves the tape.
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Reading it
Calls have positive delta (0 to 1), puts negative (0 to −1). At the money is about 0.50; deep in the money approaches 1; far out of the money approaches 0. A spread's delta is the sum of its legs, which is why a vertical has much less directional exposure than its long leg alone.
Delta is not probability of profit
A 0.30 delta call has roughly a 30% chance of expiring in the money, not of making money: you also have to recover the premium. Probability of profit measures the chance of finishing beyond the breakeven, which is always a lower bar for buyers and a higher one for sellers.
Frequently asked questions
- What is a good delta for buying calls?
- Traders who want the option to behave like stock buy 0.60–0.80; those paying for leverage buy 0.20–0.40 and accept that most expire worthless. There is no universally good delta, only one that matches the thesis and the sizing.
- Why does delta change?
- Because gamma: as the underlying moves toward the strike, delta rises toward 0.50 and beyond. Near expiration gamma is large, so delta snaps between 0 and 1 on small moves.