Sunday, August 13th, 2017

How do you figure out the Delta of an options contract?

I have been using basic strategies option for a while now, but mainly as a substitute for the purchase or sale of shares (less risk, cheaper, etc leverage). But I would like to start learning about Delta neutral trading strategies. So is there a way to determine the exact delta of an option contract at any time, based on closing prices, etc. Thanks

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One Response to “How do you figure out the Delta of an options contract?”
  1. buck says:

    Option Delta is the change in the price of an option for a one point moves in the underlying.
    Call options: 0 < Option Delta < 1 Put options: -1 < Option Delta < 0 In-the-money options: Delta Option approaches 1 (call:+1,put:-1) At-the-money options: Delta is about 0.5 (call:+0.5, put: -0.5) Out-of-the-money options: Delta Option approaches 0 Call Option Delta can be interpreted as the probability that the option will finish in the money. An at-the-money option, which has a delta of approximately 0.5, has roughly a 50/50 chance of ending up in-the-money. Put Option Delta can be interpreted as -1 times the probability that the option will finish in the money. You know it scares me that you have to go on here to find your answer. You need to study more

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