The delta of binary call options is the first derivative of the option price after a change in the strike price. Thus, the delta of binary call options indicates the slope of the binary call option price profile.
Delta Call in a nutshell
- Delta in binary call options measures price change sensitivity to strike price adjustments.
- Delta provides a comparable position in the underlying asset for various option types.
- Time Impact: At-the-money options’ delta approaches infinity as expiration time nears zero.
- Gamma Connection: Gamma, the first derivative of delta, is always positive for conventional options.
It represents an immediate equivalent position in the underlying asset, regardless of whether it is a binary call option, a conventional put option, or an exotic option.
The delta of at-the-money options tends to infinity when the time to expiration approaches zero. Those familiar with binary options greeks know that the gamma is the first derivative of the delta and that the gamma of a conventional option is always positive.
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