Definition: The expected dollar price change of an options contract per $1.00 move in the underlying security.
Comprehensive Institutional Breakdown
Delta also functions as a rough proxy for the probability that an options contract will expire in-the-money. Call options possess positive delta (0.0 to 1.0), while put options possess negative delta (0.0 to -1.0).
Cross-Market & Execution Note
Critical for calculating synthetic stock exposure and position sizing within the 1.5% risk cap.