7. The Option Greeks - Delta

In the previous video, we learned about the concept of moneyness of an option. This helps you identify if an option is the in the money, at the money, or out of the money. In this video we move to greeks and there are 4 major ones you need to know when trading options: Delta, Gamma, Vega and Theta.

By now, you know that when the underlying of an option changes, the option premium too changes. But how do you figure out how much the option premium would change if for a given change in the price of the underlying? This is where delta comes in. It helps you figure by how many points the option premium would change for every 1 point change in the underlying. We'll learn about the other 3 greeks in the upcoming videos.

[jfkgxgf]

Very very useful data for beginners, Zerodha Varsity is doing very good work and help millions of traders, DIL SE SALUTE

[educationspecial]

Thank you Sir video is also simple to understand as simple your text to understood....I have gain lots of knowledge through ur content....Thanks a lot.

[unkshiva]

This is better than paid curses for beginners

[Sree.M]

Simply the best in teaching. Hats off to you.

[ankitbhutta]

Thank you sir you are doing great work.

[sept]

Excellent ! @karthik, good job man ! So for a one point increase in share price to one point increase in option price, it has to be deep in the money :-) excellent

[sangeethsanthosh]

Hi Zerodha Varsity Team,

Indeed a very informative video on Options Greeks. Kudos to your efforts on making this an easily understandable topic.
The Delta of a Put option ranges between 0 and -1.
I think there was a typo in the video and even in the explanation too, as it was mentioned as 0.2
In the calculation of the new premium using the Delta of Put option which is shown in the video, the Delta was shown as 0.2 in the calculation.
Shouldn't it be -0.2 as the Delta of a Put option ranges between 0 and -1?
Feel free to correct me if I am wrong.

Regards,
Sangeeth

[mduniya]

so can we say that an option having delta >0.5 will be favorable for option buyer??? technically a buyer will be profitable if his strike price becomes ITM and for seller his strike price should be in OTM or near ATM. little bit confused correct me if im wrong in my perspective.

[AkshayAradhya]

One thing that wasnt explained was what time frame is used to calculate delta ? Is it the last 24 hours ? 5 minutes ? etc.

[ashishagrawal]

Sir on 12/9/22 at high of 9:30(15 min) candle the price of Bank Nifty was 40549.95 and at the close of 10:00 candle the price was 40641.40.
Total movement = 91.45
Delta of 40500 CE at high of 9:30 was 0.52
Premium at high of 9:30 was 409.60

As per calculation, at the close of 10:00 the premium should have been-
409.60+(91.45*0.52)= 457
But on actual basis it was 442.85
Why there is so much difference.?

On the other hand when the same option decreases it decreased by 11 points in comparison to a decrease of 12 points in the underlying I e, with a rate of approx 90%
Pls clear my doubt as this is very confusing.

[AkshayAradhya]

Is it ever possible for the delta to be greater than 1 ?