Börsenlexikon: Delta

The delta factor indicates the theoretically calculated change in the option price when the value of the underlying changes. For call options, the factor is between 0 and 1, for put options between ó1 and 0. A factor of 0.3 means that if the price of the underlying asset changes by one unit, the option price should change by 0.3 units. For example, if a stock rises by CHF 10, then a delta of 0.3 should cause the put option to fall in price by CHF 3. The size of the delta factor depends on whether the option is out-of-the-money, at-the-money, or in-the-money. Often, the delta for out-of-the-money options is 0, at-the-money about 0.5, and in-the-money about 1. This is one of the reasons why the greatest opportunities for appreciation lie with options or warrants that are just out of the money. For out-of-the-money or at-the-money options, the time value is often first reduced before the intrinsic value is reached and the value of the options increases.

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