What Is the Delta Range for a Deep OTM Call Option?
The Delta range for a deep OTM Call option is typically very close to zero, usually below 0.10 or 0.15. This low Delta signifies a very low probability of the option expiring ITM.
It also means the option's premium will only change by a few cents for every dollar change in the underlying asset's price, reflecting its minimal sensitivity to small price movements.
Glossar
Delta Range
Range ⎊ Delta Range defines the spectrum of possible delta values an option can assume, typically from negative one to positive one, reflecting its sensitivity to the underlying price.
Otm Call Option
Valuation ⎊ An Out-of-the-Money call option within cryptocurrency derivatives represents a contract granting the buyer the right, but not the obligation, to purchase an underlying asset at a specified strike price on or before a predetermined expiration date, where the current market price of the asset is below that strike price.
Deep OTM Call Option
Option ⎊ A deep out-of-the-money call option possesses a strike price substantially above the current market price of the underlying asset.
Deep OTM Option
Exposure ⎊ A Deep OTM Option represents a position with a very low probability of finishing in-the-money at expiration, resulting in minimal immediate directional exposure.