Brian Lee
Jul 26, 2025
The delta of a call option tracks how sensitively the option price responds to moves in the underlying spot price. When \(UP_{spot}\) is well below the strike, the call is far out of the money and delta tends toward 0. As the spot price rises and approaches the strike, delta climbs rapidly toward 1. This creates an S-shaped curve when you plot delta against the spot price.
Monitoring \(UP_{spot}\) (see Spot Price (\(UP_{spot}\))) together with delta (see Option Delta) shows how aggressively the call may gain or lose value as the market shifts. Higher deltas signal that the option will mirror the stock more closely, while lower deltas indicate only a small reaction to price swings.