Delta
A Delta is a number between -100 and 100. Deltas range from zero for far
out-of-the-money calls to 100 for deeply in-the-money calls. Deltas range from zero
for far out-of-the-money puts to -100 for deeply in-the-money puts.
At-the-money calls have Deltas of about 50 while at-the-money puts have Deltas of about
-50. Increasing the volatility causes all call Deltas to move toward 50 and all
put Deltas to move toward -50. The underlying contract always has a Delta of 100.
Formula: