Definition
Delta
Delta measures how much an option's premium changes for a ₹1 move in the underlying stock or index.
Delta is the first of the option Greeks. A Nifty call with a delta of 0.5 will gain roughly ₹0.5 in premium for every 1-point rise in Nifty; a put has negative delta because it gains when the index falls. At-the-money options sit near 0.5 (or -0.5), deep in-the-money options approach 1, and far out-of-the-money options drift toward 0.
Traders on the NSE also read delta as a rough probability of the option finishing in-the-money, and as the number of shares the option behaves like. Delta hedging — buying or selling the underlying futures to offset an option position's delta — is a core desk technique on Indian index options, especially around weekly expiry when positions need to stay neutral.
Related terms
- GammaGamma measures how fast an option's delta changes as the underlying moves — the rate of change of delta.
- VegaVega measures how much an option's premium changes when implied volatility rises or falls by 1%.
- MoneynessMoneyness describes where an option's strike sits relative to the current price — in, at, or out of the money.
Plain-English explainer from The Dispatch Investors Encyclopedia. General information, not financial advice.