Unit 3 · Level 1 · The greeks
Delta: your direction dial
DELTA answers one question: if the stock moves €1, how much does my option move? A 0.50-delta call gains about €0.50, so it behaves like half a share. Multiply by the 100 shares in a standard contract and that call is roughly 50 shares of exposure wearing a costume. Delta is how you translate options back into stock you already understand.
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What you get asked
A call has 0.50 delta. The stock rises €1. Roughly what does the call's price do?
Delta is the option's move per €1 of stock move. Options reprice continuously, with no waiting for expiry required.
One contract covers 100 shares. Your call's delta is 0.50. Roughly how many shares of exposure do you hold?
0.50 delta × 100 shares = 50 share-equivalents. That's the number to compare against your account size, not the premium alone.
Match each option to its typical delta.
Deep ITM options already move like stock; far OTM ones barely react. Puts gain when stock falls, hence the minus sign.
Traders also read delta as a rough probability the option expires ___ the money.
It's an approximation, but a handy one: a 0.20-delta option is roughly a 1-in-5 shot of finishing ITM, and it's priced accordingly.
Why does delta matter for position sizing?
A 'small' premium can hide a big directional position. Count your deltas the way the Trading course taught you to count your risk. 🐜
The rest of this unit
Delta, theta, vega, gamma: the four dials on every option's dashboard.