How Does the “Greeks” Parameter Delta Affect the Price Movement and Potential Slippage of an Option?

Delta measures the option price's sensitivity to a $1 change in the underlying asset's price. A high Delta (close to 1 or -1) means the option price moves almost dollar-for-dollar with the underlying, increasing the potential for slippage if the underlying moves rapidly.

High Delta options, like in-the-money contracts, are more sensitive to market volatility. Traders must consider Delta when estimating the potential change in the option's price between order placement and execution.