Define ‘Delta’ in the Context of Options Greeks

Delta is one of the ‘Greeks,’ which are measures of an option’s sensitivity to changes in its underlying parameters. Specifically, Delta measures the rate of change in the option’s price for a one-unit change in the underlying asset’s price.

It is expressed as a number between 0 and 1 for calls, and 0 and -1 for puts. A Delta of 0.5 means the option’s price will theoretically move by $0.50 for every $1 change in the underlying asset’s price.