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Option Delta. How to understand and apply it to your trading

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Delta

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Does anyone have a financially intuitive reason for why the delta of an ATM call option is approximately 0. David Rappaport New Member. This question seems all too familiar Well if the option is ATM, we are then looking at the option as a function of time everything else being equal. Now, delta of a call equals N d1. I think i am on point.

Delta by definition is the change in Option premium for change in Stock Price. Since all the factors including time are same, we can assume that there would be only change in the Intrinsic value of the option i.

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