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Delta
Delta measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset. It is represented as a number between minus one and one, and it indicates how much the value of an option should change when the price of the underlying stock rises by one dollar. So the normalized deltas above show the actual dollar amount you will gain or lose. For example, if you owned the December 60 put with a delta of -45.2, you should lose $45.20 if the stock price goes up by one dollar.
Notes and references
- http://www.investopedia.com/articles/optioninvestor/04/121604.asp
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