Delta
Delta is how much an option's price moves when the stock moves one dollar. A delta of 0.40 means roughly 40 cents of option move per dollar.
In depth
Stock at 100, call with a delta of 0.40. The stock goes to 101 and the call gains about 40 cents. Deep in-the-money calls run near 1.00 and track the stock almost dollar for dollar. Far out-of-the-money calls sit near 0.05 and barely react. Put deltas are negative, since puts gain as the stock falls.
Delta also moves as the stock moves, which is what surprises people. A 0.30 call that goes in the money can be a 0.60 call by lunchtime. The position gets twice as sensitive without you doing anything.
Why it matters
Delta explains the complaint that the stock went up and the calls did nothing. At a delta of 0.10, a 30 cent stock move is three cents on the contract. The spread eats that. Say you need a 50 cent move to reach the level above. A far strike cannot pay for that.
TraderLog does not store delta per trade. Put it in the day's journal entry, or on a tag for the strike type you used. The By tag table then compares them. Results per symbol show which names your strike choices have worked in.
Frequently asked questions
Many day traders use strikes near or slightly in the money. The contract then moves with the stock over a short hold.
Not exactly. It is a rough guide to the chance of finishing in the money, and no more.
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