§ 01
AAPL — Current Price, Today's Change. Open AAPL on the Ledge to see current values.
§ 02
| Greek | Measures | Range | Key Insight |
|---|---|---|---|
| Delta (Δ) | Price change per $1 stock move | 0 to 1 (calls), −1 to 0 (puts) | Also approximates probability of expiring ITM |
| Theta (Θ) | Daily time decay | Always negative for buyers | Accelerates as expiration approaches |
§ 03
Expected Option Move = Delta × Stock Move
§ 04
A delta of 0.50 means two things: the option moves ~$0.50 per $1 stock move, AND there’s roughly a 50% chance it expires in-the-money. Deep ITM options have delta near 1.0; far OTM options have delta near 0.
§ 05
Look at an options chain and compare the delta of ITM, ATM, and OTM options. Notice how delta increases as the option moves deeper in-the-money.
§ 06
You own a call with delta 0.70 and theta −0.08. The stock doesn’t move for a week. What happens to your position?
§ 07
§ 08
You buy a deep-out-of-the-money call (AAPL $250 when AAPL is at $200) expiring in 5 days. Delta is 0.05. AAPL moves +$5 over the 5 days. What happens to the option's value?
Five questions · AI feedback
Sit with the ideas.
You own a call option with delta 0.40 and theta -$0.05. The stock rises $2 and one day passes. Approximately what happens to your option's value?
Why: