Option Greeks: Modified Delta and Delta Relationships
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Option Greeks: Modified Delta and Delta Relationships

Intuition Publishing
Updated Sep 24, 2020

Delta is replaced by modified delta to better estimate the risks associated with real world markets. We examine the modified delta equation, and present an example of its calculation. We then discuss delta and the relationship between the strike price and the asset price, investigate the delta for options with different maturities, and conclude with a look at the effect of volatility on the delta of options.