Delta

Delta is one of the options Greeks — it measures how much an option's price is expected to change for a $1 move in the underlying stock. A call with a delta of 0.50 would be expected to gain roughly $0.50 for every $1 the stock rises; a put's delta is negative, since puts gain value as the stock falls. Delta is also read informally in two other ways: as a rough estimate of the odds an option finishes in-the-money (meaning the stock price ends up on the profitable side of the strike price) — a 0.30 delta is sometimes read as roughly a 30% chance — and as a hedge ratio, describing how many shares of stock an option position behaves like. Delta isn't fixed — it moves toward 1.0 for calls (or -1.0 for puts) as an option moves deeper in-the-money, and toward 0 as it moves further out-of-the-money, changing constantly as the stock price, time, and volatility shift.