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Delta definition
Delta is an options Greek that measures how much an option's price is expected to move when the underlying asset moves by one unit. It captures the option's directional sensitivity, with other factors held steady.
Call options carry positive delta, because their value tends to rise as the underlying rises. Put options carry negative delta, because their value tends to rise as the underlying falls. A higher absolute delta means the option price tracks the underlying more closely, and a lower absolute delta means the option reacts less to the same move.
Delta the Greek is a number between -1 and 1 attached to a single option. Delta One is a separate idea: a class of products, such as ETFs, futures, and total return swaps, built to hold a delta of about 1 so they move almost one-for-one with the underlying. One measures sensitivity; the other names the product family that keeps that sensitivity near 1.
Delta Example
A call option has a delta of 0.60. The underlying stock rises by USD 1.
USD 1 √ó 0.60 = USD 0.60
The option price is expected to rise by about USD 0.60, with other factors unchanged. If the stock instead falls by USD 1, the option price is expected to fall by about USD 0.60.
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