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Delta (Options Greek)

Options & Volatility

Delta measures the rate of change in an option's price per $1 change in the underlying asset's price. Call options have positive delta (0 to 1); put options have negative delta (−1 to 0).

Delta tells you how much an option moves when the stock moves $1 — and roughly approximates the probability the option expires in-the-money.

Further reading: Wikipedia

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