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What Is the ‘Delta’ of a Deep OTM Option, and Why?

Delta is near 0, because a small price change has little impact on the low ITM probability.
Greeks.Live02.11.25

What Is the ‘Delta’ of a Deep OTM Option, and Why?

The Delta of a deep OTM option is close to zero. Delta measures the change in option price for a $1 change in the underlying price.

Since a deep OTM option has a very low probability of ending ITM, a small move in the underlying price has a negligible effect on its value, hence the Delta is near zero.

How Does the Probability of Assignment Change as the Option Approaches Expiration?
What Is Delta and How Does It Relate to an Option Being ITM, OTM, or At-The-Money (ATM)?
Does a Deep ITM Option Also Have Gamma near Zero?
What Happens to the Theta of a Deep OTM Option near Expiration?

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