Delta

This Issue in United States

Concept of Delta in Futures Trading

In this context of financial law, the following is a definition of Delta: A calculation of the expected change in an option’s price given a one-unit change in the price of the underlying commodity or asset. For example, the price of an option with a delta of 0.5 would be expected to change $0.50 when the underlying commodity or asset’s price moves $1.00.

Delta

Concept of Delta in the context of derivatives contract, by the International Swaps and Derivatives Association (ISDA): The change in the monetary value of an instrument for a one basis point change in the price of that instrument.

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See Also

• Derivatives Contract