A measure of an option’s price change in relation to a price change in the underlying security.
Applying "Delta" to Securities Exams:
An option’s delta measures an option’s price sensitivity to or participation in the price movement in the underlying security or contract. The further the option is out of the money – the lower the option’s delta. The deeper the option is in the the money – the higher the option’s delta. Options that are near the money or at the money tend to have deltas of approximately 50. An option with a delta of 50 will participate in 50 % of the price change of the underlying security.