Also called the hedge ratio , the ratio of the change in price of a call option to the change in price of the underlying stock. Applies to derivative products. Measure of the relationship between an option price and the underlying futures contract or stock price . For a call option , a delta of 0.50 means a half-point rise in premium for every dollar that the stock goes up. As options near expiration , in-the-money call option contracts approach a delta of 1.0, while in the money put options approach a delta of -1. See: hedge ratio , neutral hedge .
Meaning of DELTA in English
Campbell R. Harvey. Hypertextual finance English glossary. Английский словарь гипертекстовых финансов. 2012