The change in option value per one point move in the underlying. Quoted against the contract size, so a delta of 0.2 is called delta 20 and hedging it means selling twenty shares. An at-the-money call sits around delta 50; deep in the money tends to 100, deep out of the money to 0.
Where it comes up
Part 1 of the course, Option basics and use cases: what an option is, how calls and puts pay off, and every Greek with the intuition before the maths. See the course →
The full picture
3 hours 24 minutes with the man who traded these
Sven Hubens, ten years an options market maker at Optiver and Maven, adjunct faculty at The Options Institute at Cboe.
- 3h 24m of video in 58 chapters
- All 128 slides from the course
- Subtitles in 16 languages
- A certificate a firm can verify
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€59.95 incl. 21% VAT · six months of access
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