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Dollar delta

A position's delta expressed in currency, telling you the profit or loss for a one-percent move in the underlying.

Dollar delta converts abstract greeks into money. For an option position: delta x 100 x underlying price x contracts. For stock, it is simply the position value.

Example: 10 contracts with a 0.35 delta on a $80 stock gives 0.35 x 100 x 80 x 10 = $28,000 of dollar delta. A 1% move in the stock produces roughly $280 of profit or loss. That framing makes an options book comparable with a stock book, which raw delta does not.

It is also the honest way to see hidden size. A cheap zero-dte position costing $600 can carry $200,000 of dollar delta for an afternoon, which is the mechanism behind accounts that lose far more than the premium suggests in a fast move.

Related: beta-weighted-delta, notional-exposure, delta, zero-dte

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

How a call option's delta changes with the underlying priceAn S-shaped curve rising from zero, passing through about a half at the strike, and flattening near one.Delta of a call option1.000.5008090110120Out of the moneyAt the moneyIn the money1.00 means it moves one-for-one with the stockdelta ≈ 0.50 at the strikeStrike 100Underlying price
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.

Educational only, not advice. Spotted an error? Post in Site Feedback.