Delta: The Directional Speedometer
Delta measures how much an option's price changes for a 1-point move in the underlying asset (Nifty/Spot).
The Magic Number (0 to 1)
- Call Delta: Ranges from 0 to 1.
- Put Delta: Ranges from -1 to 0 (Negative because Puts gain when market falls).
| Strike Type | Approx Delta | Meaning (If Nifty +100pts) |
|---|---|---|
| ATM (At The Money) | 0.5 | Option increases by ₹50. |
| ITM (In The Money) | 0.6 to 0.9 | Option increases by ₹60 to ₹90. (Like a Future) |
| OTM (Out The Money) | 0.1 to 0.4 | Option increases by ₹10 to ₹40. (Sluggish) |
What This Means for You
For Buyers: If you want fast profits, you need high Delta. Buy ATM or slightly ITM. Buying OTM (Delta 0.2) means Nifty has to move A LOT for you to make money.
For Sellers: Sellers love low Delta. They sell OTM options (Delta 0.2) hoping the market doesn't reach there.
Pro Tip: Delta is also the approximate Probability of ITM. A 0.3 Delta option has roughly a 30% chance of expiring In-The-Money.
*Disclaimer: NSE/BSE frequently revise Lot Sizes and Expiry Days (e.g., SEBI Circulars 2024/2025). Always check the latest circular on nseindia.com before trading.
Standard Disclosure: Investment in securities market are subject to market risks. Read all the related documents carefully before investing. The content provided here is for educational purposes only and does not constitute financial or investment advice. AlgoStraddle Academy is not a SEBI registered investment advisor. Trading options involves high risk and capital can be lost.