Options Delta Calculator
Estimate the delta of European call/put options: the approximate change in option price per 1 unit move in spot.
Results
Fill in the inputs and click Calculate.
- Delta
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Risk disclaimer
This calculator provides theoretical references, not investment advice. Real markets include supply/demand, vol surfaces and liquidity; Greeks change in real time.
What does it measure?
Delta ranges 0–1 for calls and −1–0 for puts, and is often used to size the spot hedge (hedge ratio).
How to use
- Choose call or put.
- Enter spot, strike, time to expiry in years and annual volatility %.
- Risk-free rate defaults to 0; fill it in if needed.
- Click Calculate to see this Greek.
Formula (Black-Scholes)
- Δ = N(d1) for calls; Δ = N(d1) − 1 for puts
Example
Spot 100, strike 100, 1 year, vol 20%, rate 0%: call delta ≈ 0.5398, put delta ≈ −0.4602.
FAQ
How should I read these values?
Each is a model-based partial derivative of option price: Delta w.r.t. spot, Gamma w.r.t. delta, Vega w.r.t. volatility, Theta w.r.t. time.
Why is the risk-free rate 0 by default?
Crypto options are often priced with a near-zero risk-free rate; change it for classic-market comparisons.