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The Delta
The rate of change of the price of an option with respect to its underlying stock price is known as the delta. The delta ranges in value from 0 to 1 for calls (0 to -1 for puts) and reflects the increase or decrease in the price of the option in response to a 1 point movement of the underlying stock price.
Far out-of-the-money options have delta values close to 0 while deep in-the-money options have deltas that are close to 1.
Up delta , down delta
As the delta can change even with very tiny movements of the underlying stock price, it may be more practical to know the up delta and down delta values. For instance, the price of a call option with delta of 0.5 may increase by 0.6 point on a 1 point increase in the underlying stock price but decrease by only 0.4 point when the underlying stock price goes down by 1 point. In this case, the up delta is 0.6 and the down delta is 0.4.