Delta

Delta is one of the options greeks which is a measure of the sensitivity of the value (price) of an option for a unit change in the price of the underlying asset. In other words, delta can be expressed as a ratio of change in the price of the option to the change in the price of the underlying asset.

For example, if the value of underlying asset increases by $1 per share and the corresponding option increases by $0.65, the resulting delta will be 0.65 (0.65/1).

Delta = Change in price of the option/ Unit change in price of the underlying asset

Delta for Calls:

The value of the call option increases as the underlying asset price rises thus, calls have a positive delta, between 0 and 1. Delta for call seller will be same in magnitude but with the opposite sign.

Delta for Puts:

In the same context, puts will have a negative delta, between -1 and 0 meaning that the value of put option increases as the underlying asset price falls. Delta for put option seller will be same in magnitude with the opposite sign.