The world of options is dominated by four mathematical
variables: delta, gamma, theta and vega. Collectively they are
known as “the Greeks,” although options traders often add their
own colorful adjectives when their P&Ls begin to sink. What
makes these four variables so important? Taken together, they
can provide an experienced trader with a comprehensive risk
analysis in a single glance. Quite simply, if you want to trade
options, then you have to master the Greeks. Delta signifies the
rate of change in an option’s price as it relates to movements
in the underlying asset. Most theoretical programs express an
option’s delta as a number from 1-100. A delta of one indicates
that an option will change its price by one cent for every one-
dollar movement in the underlying. An option with a delta of a
100 will move in perfect correlation with the underlying. Delta
is an important variable because it shows the directional risk
of an options position, as well as how many shares or futures
are required to hedge that