How Does the Moneyness of an Option Relate to Its Delta?
Delta is one of the option Greeks and measures the option price’s sensitivity to a $1 change in the underlying asset’s price. The moneyness of an option is directly related to its Delta.
Deep In-the-Money (ITM) options have a Delta close to 1 (Call) or -1 (Put), meaning they move almost dollar-for-dollar with the underlying. Out-of-the-Money (OTM) options have a Delta closer to 0, meaning they are less sensitive to price changes.
Glossar
Moneyness of an Option
Condition ⎊ The state of an option is defined by comparing the underlying asset's spot price to the contract's strike price at a given point in time.
Moneyness
Intrinsic Value ⎊ Moneyness, within cryptocurrency derivatives, fundamentally represents the intrinsic value of an option relative to the underlying asset’s current market price, influencing pricing models and risk assessment.
Option Greeks
Volatility ⎊ Option Greeks, within the context of cryptocurrency derivatives, quantify the sensitivity of an option's price to changes in underlying market factors.