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.

Position Delta on WebNotes

Delta (options)