From iOptioneer - an advanced option trading reference for iPhone

Delta is the most often used risk measure. The delta of an option shows how much the option value will change with a one unit change in the base price. I.e., if your option value increases by 10 cents after the underlier moves up by one dollar, the delta is 0.1.

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For call options the delta is never negative, for put options the delta is usually never positive. The delta is also called the moneyness of the option - the more in the money an option gets, the bigger absolute value has its delta. For at the money vanilla options delta is usually 0.5 for calls and -0.5 for puts.

With delta you can learn how will your position react to changes in the market. If the delta is positive, you will gain money if market goes up, and vice versa. If the delta is near zero, you have what is called a delta neutral position. Delta neutral positions are not affected by small price movements, but can be affected by changes in market volatility.

You can build a delta graph for every study, by switching the graph type to Delta. For this study the graph shows how the delta of a put option changes with the base price. You can also change the days parameter, so see what will happen to delta as the option approaches the expiry, how much the delta changes with time is a separate advanced greek measure, called option charm.

See also greeks, gamma, vega, option charm.

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The screenshot shows the following portfolio:




European put struck at 10.000 with expiry in 30 days

This is an excerpt from iOptioneer option trading reference application. In order to build the real-time dynamic strategy graph and run simulations you will need to download the application from App Store.

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