---
title: Delta & Risk Level
slug: delta-and-risk-level
icon: 🪂
docTags:
createdAt: 2023-07-12T13:56:40.020Z
---
[Delta](https://www.investopedia.com/terms/d/delta.asp) measures the sensitivity of an option's price to a $1 change in the price of its underlying asset. An option's delta is the probability that it will finish in the money.*** The higher the delta, the riskier the vault.***
Let's assume we have a call option priced at $1.00 with a delta of 0.50. This means that for every change in the price of the underlying asset, the option's price will change by 50% of that amount.
In this scenario, the price of the underlying asset increased from $96 to $97.5, which is a $1.5 move. Consequently, the option's premium will increase by 50% of this $1.5 change, which is $0.75 ($1.5 \* 50% = $0.75). Therefore, the new price of the option will be $1.75.
It's important to note that
- Call options always have a positive delta between 0 and 1.00, while put options always have a negative delta between 0 and -1.00.
- Being long a call results in positive delta, while being short a call results in negative delta. Conversely, being long a put results in negative delta, and being short a put results in positive delta.
:::hint{type="info"}
Traders typically refer to delta without the decimal point, so ***a delta of 0.50*** is commonly called a ***50 delta***.
:::
The absolute value of delta also indicates the approximate probability that the option will finish in the money. For example, a delta of 20 suggests a 20% chance of finishing in the money, while a delta of 50 suggests a 50-50 chance.
Delta is dynamic and changes with movements in the underlying asset. Options with a delta less than 50 are considered out of the money. If the delta is greater than 50, the option is in the money. A delta close to 50 indicates the option is at the money.
| **Strategy** | **Risk Level** | **Delta at Auction** |
| -------------------------------------------------------------------------------------- | -------------- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| [Covered Call
](https://docs.typus.finance/defi-options-vaults#18lfj)(Capped Call) | Conservative | 5 |
| | Moderate | 25
30 exclusive for:
- SUI Daily 3x Covered Call (Capped Call)
- HASUI Daily 3x Covered Call (Capped Call)
- VSUI Daily 3x Covered Call (Capped Call) |
| | Aggressive | 45 |
| [Call Selling](https://docs.typus.finance/defi-options-vaults#fGueI) | Moderate | 25 |
| | Aggressive | 45 |
| [Put Selling
](https://docs.typus.finance/defi-options-vaults#xdS35)(Capped Put) | Moderate | 25
30 exclusive for:
- SUI Daily 3x Put Selling (Capped Put) |
| | Aggressive | 45 |
| [Call Spread](https://docs.typus.finance/defi-options-vaults#k3Ka_) | Moderate | 10-25 |
| | Aggressive | 25-45 |