Meet the Greeks

Delta spread is an options trading strategy in which the trader initially establishes a delta neutral position by simultaneously buying and selling options in .

You're welcome to use my option pricing spreadsheet - it's a good way to familiarise yourself with the theoretical values by playing around with various scenarios and viewing the changes that take place after changing the inputs to the model.

Delta as the option hedge ratio

If a stock goes up $1 and an option has a delta of “ Δ” then the option price will increase by $ Every additional dollar the stock goes up the option will increase by its delta value. If the stock goes up $10 the option will go up in price by $, assuming the delta value remains the same.

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They found no difference in appetite between groups (8).