How Does an option'S'moneyness' Relate to the Delta Option Greek? ▴ Learn

How Does an Option’s ‘Moneyness’ Relate to the Delta Option Greek?

Delta measures the sensitivity of an option's price to a $1 change in the underlying asset's price. OTM options have a Delta closer to zero because a small price change is less likely to move them into the money.

ITM options have a Delta closer to 1 (for calls) or -1 (for puts), as their price moves nearly dollar-for-dollar with the underlying asset. ATM options have a Delta near 0.5 or -0.5.

What Greek Letter Measures the Sensitivity of the Option Price to the Underlying Price?

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