How Does the Delta of an Option Affect the Margin Calculation? ⎊ Path

How Does the Delta of an Option Affect the Margin Calculation?

Delta is a key input because it represents the option's sensitivity to the underlying asset's price change, which directly correlates to the potential loss. As a naked option goes deep in-the-money, its Delta approaches -1.0 (for a short call) or +1.0 (for a short put), meaning the option's price moves almost dollar-for-dollar with the underlying, significantly increasing the margin requirement.

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