Put delta from call delta
Definition · Level 5 · Greeks & volatility
Keep reading with Tradecraft
Without a subscription, you can read three definitions every 30 days. Tradecraft explains all 988 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
For European options without dividends, a same-strike put’s delta equals the call’s delta minus 1, because call minus put equals stock minus a constant.
Example
30-delta call → same-strike put at −0.70.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Delta as odds, and the put’s delta”: A rough chance of finishing in the money, the 25-delta reference, and how a put’s delta follows from the call’s.
Related terms
- 25-delta optionThe out-of-the-money call or put whose delta is ±0.25: the standard reference strike for quoting skew, and very roughly a 1-in-4 chance of finishing…
- In-the-money probabilityThe model’s chance that an option expires in the money: N(d2) in Black–Scholes.
- Beating the priced moveJudging a straddle by comparing the move that actually happens with the move the straddle’s price implied, not with zero.
- Beta-weighted deltaA book’s delta expressed in index shares: delta × (stock price ÷ index price) × beta, summed over positions.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant volatility, no jumps and…
- Black–Scholes inputsSpot price, strike, time to expiry, interest rate, dividends and volatility.