Option Delta

Option Delta calculates the Delta value of an option using the Black-Scholes pricing model. Delta is the amount by which an option price is expected to change for every 1-point change in the price of the underlying asset. Delta values range between -1 and +1. The more a call option becomes in the money, the closer its Delta approaches +1. The more a put option becomes in the money, the closer its Delta approaches -1. Delta provides an excellent indication of how price fluctuations in the underlying asset will affect the pricing of an option.