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Delta in option lingo is the rate of change of an options value with respect
to the change in the underlying securities value. If stock XYZ is at 100 and
moves to 101, then typically a call option with a strike price of 100 ( at
the money in this example) would change price by half a point or 50% of the
price change of XYZ. The delta would be 50 for 50%. Options further out of
the money will have smaller deltas. The delta is also referred to as the
hedge ratio.
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