Chapter 05 · Section 5.1

Delta- Puts vs. Calls

The delta of a call:
is positive, moves toward +1 the more the option is in-the-money and the closer the expiration daste

The delta of a put:
is negative,moves toward -1 the more the option is in-the-money and the closer the expiration date

Remember: Both delta and gamma value change with each movement in the price of the underlying. Therefore, delta and gamma values are only valid for small changes in the price of the underlying.