In What Scenario Can an Option’s Delta Exceed 1 or Fall below -1?

The Delta of a standard European or American option cannot exceed 1 for a call or fall below -1 for a put under normal Black-Scholes assumptions. A Delta outside this range would imply that the option's price moves more than the underlying asset, which violates arbitrage principles.

If an observed market Delta is outside this range, it usually indicates a mispricing, a non-standard option structure, or a failure of the model's assumptions, such as a large dividend or distribution. For crypto, this could occur momentarily during extreme illiquidity.