– Glossary
Delta (also \"neutral hedge ratio\")
The percentage of price movement in the underlying stock that will be translated into the price movement in a particular option. For example, a delta of 50 percent indicates that the option will move up (or down) by one-half point for each one-point rise (or decline) in the underlying stock. Call options have positive delta and put options have negative delta. Delta increases as the stock price rises and decreases as the stock price declines. It’s also commonly used to approximate the probability that an option will finish in the money.
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