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Delta

How much an option's price is expected to change for a $1 move in the stock.

OptionsIntermediate

Definition

Call deltas range from 0 to 1 and put deltas from 0 to -1. An at-the-money option has a delta near 0.50. Delta is also used as a rough guide to the odds of finishing in the money, though that is only an approximation.

Example

Hypothetical exampleA call with a delta of 0.40 gains about $0.40 if the stock rises $1, all else equal, or $40 per contract.

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