Chapter 06 · Section 6.1

Leverage versus Delta

The delta factor of an option is highest when the option is in-the-money. In other words, the absolute change in the premium for a given change in the value of the underlying is greater the more an option is in-the-money.

On the other hand, the leverage obtained with an out-of-the-money option is greater than the leverage obtained with an in-the-money option.