Delta — the speedometer

The definition, in one line

Delta = how many rupees the option moves for a 1-point move in the underlying.

The 22400 CE (7 days left, NIFTY at 22,400) has a delta of about 0.53. So:

• NIFTY +1 point → call +₹0.53
• NIFTY +100 points → call ≈ +₹53
• NIFTY −100 points → call ≈ −₹53

Let's check against the real model. NIFTY moves from 22,400 to 22,500:

The estimate is close but not exact: the call actually gained ₹58. The extra ₹5 comes from gamma (delta itself grew as NIFTY rose — next lesson).

Delta depends on moneyness

Calls go from 0 (deep OTM) to 1 (deep ITM), passing through about 0.5 at the money. Here's the full picture:

Put delta is negative

Puts gain when the market falls, so their delta runs from 0 to −1:

A put with delta −0.47 gains about ₹47 when NIFTY falls 100 points.

Bonus meaning: a rough probability

Traders often read delta as the rough chance of expiring in the money. The 22,800 call with delta 0.18 has very roughly an 18% chance of finishing above 22,800. It's not a precise probability, but it's a handy gut-check when choosing strikes.

Delta of a whole position

Delta scales with quantity and side. One lot of the ATM call:

0.53 × 65 units ≈ +34.5 deltas

Your call position behaves like owning about 34.5 units of NIFTY — for now. Sell instead of buy and the sign flips: −34.5.

Deltas also add up across legs. Buy the 22400 call (+0.53) and the 22400 put (−0.47) and your total delta is about +0.06 — almost zero. You don't care much which way NIFTY moves… you care that it moves a lot. That's a long straddle, coming up in Module 3.