Using Delta To Determine Probabilities

July 13, 2017

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By Geoff Bysshe


One way to use Delta is to determine the chance that an option will be in the money at expiration. As a simple example, a 30 delta suggests that the option has a 30% probability of being in the money at expiration. If you are trading call options and the underlying asset rises, then the delta of that option would increase, because the probability of finishing in the money also increases. Often times professional option premium

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