The term delta refers to a number that is calculated for a given option by one of the many option pricing models. This value ranges from 0 to 100 for call options and from 0 to -100 for put options. The delta value can be used as an indication of:

• The likelihood that the option will expire in-the-money

• Holding 100 shares of the underlying stock if the delta value is at the moment 100

• The option will increase by 0.25 points if the the underlying stock rises 1 full point given a delta of 25