Delta is a measure of

Solution

Delta measures the sensitivity of an option's price (premium) to changes in the underlying asset's price. It also suggests the approximate probability of an option expiring in-the-money (ITM). Delta ranges from 0 to 1 for calls (positive) and 0 to -1 for puts (negative). The other greeks include: • Gamma: Measures the rate of change of Delta. Gamma is typically highest for at-the-money (ATM) options and decreases for deep in-the-money or out-of-the-money options. • Theta: Measures the time decay of an option, indicating how its price will decrease as time passes. Time decay accelerates as the expiration date nears. • Vega: Measures an option's sensitivity to changes in the implied volatility of the underlying asset. A higher Vega means the option's price is more sensitive to volatility shifts. • Rho: Measures the sensitivity of an option's price to changes in interest rates. For call options, Rho is typically positive, while for put options, it's generally negative. Rho becomes more significant for longer-dated options and during periods of high interest rate fluctuations.