Delta
How much the premium moves per unit the underlying moves. It also reads as your position's equivalent exposure in shares.
In the chapter
What your position is sensitive to
From the same chapter
- GammaHow much delta changes when price moves. It is the acceleration: high near the money and near expiry, which is why everything moves faster there.
- ThetaWhat the premium loses from one day simply passing. Negative for the buyer and positive for the seller: it is the rent on time.
- VegaHow much the premium changes if implied volatility rises one point. It is the greek that explains losses that do not match the price move.
- RhoSensitivity to interest rates. Irrelevant on short horizons and anything but on contracts beyond a year.
- CharmHow much delta changes from time alone. It is what forces dealers to re-hedge without price having moved.
- VannaHow much delta changes when volatility changes. It links fear to flow: when implied volatility falls, it forces buying of the underlying.