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OptionsD

Delta

Delta measures how much an option's price is expected to change for every $1 move in the underlying asset. Call options have positive delta ranging from 0 to 1, while put options have negative delta ranging from 0 to -1. An at-the-money option typically has a delta near 0.50, and delta also approximates the probability that an option will expire in-the-money.

Example

The call option had a delta of 0.65, meaning its price increased by approximately $0.65 when the underlying stock rose by $1.00.