Measures the rate of change in DeltaA measure of the change in an option's price for every $1 change in the underlying instrument. It also serves as a rough proxy for the probability that the option will expire in the money. More. It shows how much the DeltaA measure of the change in an option's price for every $1 change in the underlying instrument. It also serves as a rough proxy for the probability that the option will expire in the money. More will shift as the price of the underlying instrument moves, reflecting the stability of an option’s price sensitivity.
