Delta - Delta defines the relationship between the option price and the underlying security. If delta is 0.5 and the underlying security rises by $1.00 then the option price will rise by $0.50. Call options have positive deltas and Put options have negative deltas. At the money call options have deltas around 0.5 and deep in the money call options have deltas approaching 1.0 and deep out of the money call options have deltas approaching 0.0.
