Understanding Delta in Option Pricing

Very Easy Option Valuation Greeks

In the context of options trading, the term 'Delta' is a key measure used to assess the sensitivity of an option's price to changes in the price of the underlying asset. Delta is defined as the rate of change of the option's price with respect to the change in price of the underlying asset.

Which of the following statements correctly describes Delta in the context of options?

Delta is always a positive number for call options.

Delta represents the change in the option's price for a $1 change in the underlying asset's price.

Delta is the volatility of the underlying asset.

Hint

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