Delta

What is Delta?

Delta meaning A calculation of the expected change in an option’s price given a one-unit change in the price of the underlying commodity or asset. For example, the price of an option with a delta of 0.5 would be expected to change $0.50 when the underlying commodity or asset’s price moves $1.00.

 

reference: U.S. COMMODITY FUTURES TRADING COMMISSION – CFTC Glossary

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