Delta, one of the five greeks used for measuring options risk, measures the effect of a change in the price of the underlying asset on the option's premium. Delta is the amount of change in the price of an option for every one-point increase in the underlying asset, or the percentage of the change in the price of the underlying asset that is reflected in the price of an option.
Delta is positive for calls and negative for puts. The values range from 0 to 1 for calls and -1 to 0 for puts. The reason puts have a negative delta figure is because of their inverse correlation with the underlying asset. Put premiums fall when the underlying asset rises in price and rise when the underlying asset falls in price. The vice versa is true for calls.
Delta value is highest for in the money options and lowests for out of the money options. As such, options delta has also been referred to as an option's possibility of ending up in the money by expiration. Deep in the money options have delta of nearly 1 because they have an almost 100% chance of ending up in the money by expiration while far out of the money options have delta of about 0.1 because they almost have no chance of ending up in the money by expiration at all.
If the delta on a particular call option is .55, then, all other things being equal, the price of the option will rise $0.55 for every $1 rise in the price of the underlying security. The opposite effect is also seen as for every $1 decline in the price of the underlying the option will lose $0.55.
If the delta on a particular put option is -.45, then, all other things being equal, the price of the option will rise $0.45 for every $1 fall in the price of the underlying security. As with call options the obverse scenario is also true.