Delta risk

The delta is the derivative of the price of the option in relation to the price of the underlying. For call options, it is between 0 and 1, and for put options, between 0 and -1.

If the delta of a call is equal to 0.8, then for every €1 increase in the price of the underlying, the call price will increase by €0.8.

Delta hedging refers to a hedging technique intended to protect a portfolio from variations in an underlying asset. The investor buys a certain number of options on this underlying according to their delta. This makes it possible to compensate downwards or upwards for variations in this underlying asset thanks to the evolution of the price of the option.