Delta in Options @ India Market

Hello Smart traders,

We all know that Delta is the ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative. Can anyone please tell me what is the price at which Delta moves? Is it every 5/10/20 rupees movement with respect to ration percentage? Please let me know. Thanks in advance.

Delta is, by definition - change in instruments price for each single unit change in the price of underlying. So in case of our market - it is for 1 Rs. change in the price of underlying.

If delta of an option is +0.55, it means for 1 Rs increase in the price of underlying, the instrument will move by 55 paise. If delta is -0.55, the price of instument will fall by 55 paise (e.g. Put options).

(but this is just theory.. in reality it may be slightly different )

Happy Trading

Thanks for the reply.

in reality its the game of demand & supply

IMO, Delta, which is part of option Greeks is not dependent on sentiment or demand/supply of option. It is pretty mathematical (first derivative of price wrt to time)

Actual market premium, does depend on demand supply, sentiments, etc. But that is due to shift in the perception about volatility in days ahead (i..e implied volatility).

Thats what I think and understand. Hope this helps.

True, I was talking more about intraday. By the end of days it settle down to the mathematical value.