Delta Delta elta is one of the Greeks , a set of factor sensitivities used primarily to describe the risk exposures of derivatives portfolios.
Delta measures a portfolio's linear exposure to an underlier .
A tangent line has been fit to that curve at the current market level. The slope of that tangent line is the portfolio's delta with respect to the underlier. Note that delta approximates how a portfolio's value will respond to small changes in the underlier. Being a linear measure of risk, it does not capture the portfolio's higher-order sensitivities relating to curvature in the exposure. For that, delta is often supplemented with gamma , a second-order factor sensitivity If a portfolio is exposed to multiple underliers, it will have a delta for each exposure.