Delta
Delta measures how much an option’s price changes for a $1 change in the underlying, ranging 0 to 1 for calls and 0 to −1 for puts.
A 0.40-delta call gains about $0.40 per $1 up-move in the stock. Delta also approximates the probability the option finishes in-the-money and the equivalent share exposure (40 shares per contract here).
Delta shifts as the underlying moves — that second-order change is gamma.
Example. You own 3 calls with a 0.50 delta each; your position behaves like 150 shares (3 × 0.50 × 100) for small moves.
FAQ
What does a delta of 0.30 mean?
The option gains about $0.30 per $1 rise in the underlying and has roughly a 30% chance of finishing in-the-money.
Why is put delta negative?
Puts gain value as the underlying falls, so their price moves opposite to the stock — a delta between 0 and −1.