Option Delta
Delta tells you how much an option's premium moves when the underlying moves by one point. A Nifty call with a delta of 0.50 gains about ₹0.50 for every point Nifty rises.
Reading delta
Calls have a delta between 0 and 1, puts between −1 and 0. At the money, delta is close to 0.50 (or −0.50 for a put); deep in the money it approaches 1, far out of the money it approaches 0.
Multiply by the lot size to see the rupee effect: a NIFTY option with delta 0.40 and a lot of 65 moves about ₹26 per lot for every point.
Delta as a hedge ratio and a rough probability
A position's delta is the number of underlying units it behaves like. Two lots of a 0.50-delta call act like one lot of the future, which is why traders hedge with futures in the ratio of delta.
Delta is also a rough market estimate of the chance the option ends in the money: a 0.20-delta call is priced as roughly a one-in-five chance.
What changes delta
Delta moves with the underlying (that rate of change is gamma), with time (near expiry, deltas rush towards 0 or 1), and with volatility (higher IV pulls deltas towards 0.50).
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What if…
What-if values and the chart use the Black-76 model on the future (rate as set, calendar days), so they can differ slightly from the app's live Greeks.
Delta for every strike, live
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Frequently asked questions
What is a good delta for buying options?
There is no single right number. Buyers looking for a cheaper bet on a big move pick lower deltas (0.25-0.40); those who want the option to track the underlying pick 0.50-0.70, which cost more but lose less to time decay relative to their move.
Why does delta change near expiry?
With little time left, an option is either likely to finish in the money (delta heads to 1) or not (delta heads to 0), so small moves in the underlying swing delta sharply. That is gamma at work.
The other Greeks
For information only, not investment advice. Disclaimer