Delta (Δ) – Measures Price Sensitivity

Delta represents how much an option’s price is expected to change when the underlying index (Nifty or Bank Nifty) moves by 1 point. Call options have a positive Delta (0 to 1), meaning their value increases when the index rises, while put options have a negative Delta (-1 to 0), meaning their value increases when the index falls. Delta also represents the probability of an option expiring in-the-money (ITM). For example, an option with Delta of 0.50 has a 50% chance of expiring ITM.

Significance:

• Helps traders measure the impact of price movement on their options.
• Higher Delta means the option price moves more in sync with the index.
• Deep ITM options have Delta close to 1 (or -1 for puts), meaning they almost mirror the movement of Nifty or Bank Nifty.
• OTM options have low Delta (close to 0), meaning they move very little with index price changes.
• Useful for directional trading strategies.

Example (Nifty Call Option):

• A Nifty 22,000 Call has Delta = 0.60.
• If Nifty moves from 22,000 to 22,001, the call option price increases by ₹0.60.
• If Nifty moves to 22,005, the option price increases by ₹3 (0.60 × 5).