Delta (D)

The first derivative of an option price in regard to the price of the underlying security. It therefore measures how quickly the price of an option changes depending on the price of the underlying stock. Delta always takes a value between 0 and 1 for long call and short put options, and -1 and 0 for short call and long put options. Volatility traders often construct delta neutral positions so that their position neither gains nor loses money (given low volatility). Note that the delta of any position will change if the markets move enough.