Option Greek ~ Delta

Delta as name suggest is change...!!!

But if we get bit deeper and to make it simple then we can say that change in price of option with respect to change in price of underlying asset. 

Value of Delta remains between -1 to 1. 

Call option have different Delta value between 0 to 1

Put option have different Delta value between 0 to -1

Value of Delta for different options remains different with respect to it moneyness of option. 

Let take CE and PE option one by one. 

CE (Call options)

In-the-money CE options have Delta near to 1

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all CE options below 10000 shall have Delta near to 1 or in range of 0.75 to 1. More Deep in the money CE option value will take Delta value near to 1. 

At the money CE options have Delta near to 0.50

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all nearby CE options (we can consider 10000-10200-10400) shall have Delta near to 0.50 or in range of 0.750 to 0.250 

Out of the money CE options have Delta near to 0

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all CE options above 10400 shall have Delta near to 0. or in range of 0.25 to 0. 

PE (Call options)

In-the-money PE options have Delta near to -1

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all PE options above 10400 shall have Delta near to -1 or in range of -0.5 to -1. More Deep in the money PE option value will take Delta value near to -1. 

At the money PE options have Delta near to -0.50

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all nearby PE options (we can consider 10000-10200-10400) shall have Delta near to -0.50 or in range of -0.750 to -0.250 

Out of the money options have Delta near to 0

For example underlying asset (here we shall consider Nifty) is trading at 10200 then all PE options below 10000 shall have Delta near to 0. or in range of -0.25 to 0. 

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