Delta (options)

Sun, 21 Jun 2026 00:00:00 +0000

Delta is the first-order option Greek that measures how much an option’s premium changes for a one-rupee change in the price of the underlying, holding time, volatility and interest rates constant. Computed from the Black-Scholes-Merton model that Zerodha Kite uses for its Greeks display, call delta ranges from 0 to +1 and put delta from 0 to -1, and the absolute value doubles as the option’s approximate probability of expiring in-the-money. It is the Greek that quantifies directional exposure.

Moneyness: in-the-money, at-the-money, out-of-the-money

Sun, 21 Jun 2026 00:00:00 +0000

Moneyness is the classification of an option by where the price of the underlying sits relative to the strike, which determines whether the option carries intrinsic value. An option is in-the-money (ITM) when exercising it would yield a positive payoff, at-the-money (ATM) when the underlying is at or nearest the strike, and out-of-the-money (OTM) when exercising would yield nothing. Moneyness sets the split between intrinsic and time value in the premium, maps directly to delta , and, for single-stock options on Indian exchanges, decides whether a contract left to expiry triggers compulsory physical delivery.

Moneyness on WebNotes

Delta (options)

Moneyness: in-the-money, at-the-money, out-of-the-money