A running total of volume traded at the ask minus volume traded at the bid, approximating net aggressive buying versus selling.
Every trade has both a buyer and a seller, but one of them crossed the spread to make it happen. Delta classifies each trade by which side was aggressive and accumulates the difference, giving a direct measure of who is pressing.
This is the modern, data-driven answer to what on-balance-volume approximated from closing prices. It requires tick-level data with bid and ask information, so it is standard in futures and increasingly available in crypto, and less reliable in fragmented equity markets.
The classification is still an approximation: trades inside the spread are ambiguous, and large passive participants deliberately absorb aggression without showing up as delta. See delta-divergence for the main way this is read.
Original diagrams for the ideas on this page. Illustrative, not real market data.
Delta across the range of prices. Delta says how much a call's price moves for a one-point move in the stock. Far below the strike it is near 0 and the option barely reacts; at the strike it is about 0.50; far above it approaches 1 and tracks the stock.The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.
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