Delta

How much an option’s price moves for a $1 move in the underlying.

Also called: option delta

In plain language

Delta ranges from 0 to 1 for calls and 0 to −1 for puts. A 0.60 delta call gains roughly $0.60 per $1 rise in the underlying.

It is also a rough approximation of the probability the option finishes in the money, which makes it useful for strike selection.

Delta is not fixed. It rises as an option moves into the money and falls as it moves out — that rate of change is gamma.

Worked through

Turning six contracts into a share count

Contracts: 6
Delta per contract: 0.38
Shares per contract: 100
Equivalent exposure: 228 shares

Six times 0.38 times 100 gives 228. That single number is what makes an options position comparable to everything else in the account: the trader is, for the moment, long the equivalent of 228 shares, and can size it against the same rules used for stock.

The phrase "for the moment" is doing real work. Delta is not fixed — it rises as the option moves into the money and falls as it moves out — so the 228 is a snapshot. A 5% rally might make it 340 without a single additional contract being bought.

Delta is also frequently described as the probability of expiring in the money, and as a rough approximation that is useful. A 0.38 delta option is, loosely, a bit better than a one-in-three shot, which is a more sobering way to read the same position.

Its practical value is that it makes options positions auditable. Without it, "six contracts" means nothing next to "200 shares"; with it, both are exposure, and portfolio heat can be calculated across them.

Why it matters

Delta converts option positions into equivalent share exposure, which is what lets you size an options trade against the same risk framework you use everywhere else.