
The Effect of Time Remaining To Expiration on DELTADelta is a measure of the change in the option price resulting from a change in the underlying stock price.An option�s Delta does change as one trading day passes. This is often called as �Delta Decay�.As the expiration is nearing (time to expiration gets shorter), the time value portion of an option is declining (time decay effect).This causes the delta of ITM (In-The-Money) options to increase (i.e. ITM option�s delta gets closer to 1 for Calls or to -1 for Puts) and the delta of OTM (Out-of-The-Money) options to decrease (i.e. OTM option�s delta gets closer to 0).As a result:For ITM options,...